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This paper develops a two-step estimation methodology that allows us to apply catastrophe theory to stock market … returns with time-varying volatility and to model stock market crashes. In the first step, we utilize high-frequency data to … estimate daily realized volatility from returns. Then, we use stochastic cusp catastrophe on data normalized by the estimated …
Persistent link: https://www.econbiz.de/10010407518
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …
Persistent link: https://www.econbiz.de/10011335205
model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …
Persistent link: https://www.econbiz.de/10010256409
Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10009771770
When estimating and forecasting realized volatility in the presence of jumps, a form of bias-variance tradeoff is …
Persistent link: https://www.econbiz.de/10014188741
Persistent link: https://www.econbiz.de/10009666837
A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted … Hedge Index). The results presented here show promising application in modelling and predicting volatility, as well as … identifying current volatility regimes predominating the market …
Persistent link: https://www.econbiz.de/10014356167
Persistent link: https://www.econbiz.de/10001781206
of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …
Persistent link: https://www.econbiz.de/10011568279
The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model. Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to...
Persistent link: https://www.econbiz.de/10012604397