Similar Search Results

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Duong, Diep; Swanson, Norman R. - 2013

asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in …

Persistent link: https://www.econbiz.de/10009771770

The memory of volatility

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: July 31, 2017

The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been considered. Estimates in the literature range roughly...

Persistent link: https://www.econbiz.de/10011715842

Forecasting the realized variance in the presence of intraday periodicity

Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...

Persistent link: https://www.econbiz.de/10012063222

Volatility in discrete and continuous time models : a survey with new evidence on large and small jumps

Duong, Diep; Swanson, Norman R. - 2011

volatility ; multipower variation ; tripower variation ; truncated power variation ; quarticity ; infinite activity jumps … variables. We then provide empirical evidence on "small" and "large" jumps from the perspective of their contribution to overall …, Bollerslev and Diebold (2007) and Ai͏̈t-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days …

Persistent link: https://www.econbiz.de/10009130524

Empirical evidence on jumps and large fluctuations in individual stocks

Doung, Diep; Swanson, Norman R. - 2011

variation ; truncated power variation ; quarticity ; infinite activity jumps … (2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price … returns on 25 stocks in the DOW 30 and S&P futures index. In particular, we examine jumps from both the perspective of their …

Persistent link: https://www.econbiz.de/10009151972

High-Frequency Volatility Modelling : A Markov-Switching Autoregressive Conditional Intensity Model

Li, Yifan - 2019

We develop a Markov-Switching Autoregressive Conditional Intensity (MS-ACI) model with time-varying transitional parameters, and show that it can be reliably estimated via the Stochastic Approximation Expectation-Maximization algorithm. Applying our model to high-frequency transaction data, we...

Persistent link: https://www.econbiz.de/10012903299

Augmented Real-Time GARCH : A Joint Model for Returns, Volatility and Volatility of Volatility

Ding, Yashuang (Dexter) - 2021

We propose a model that extends the RT-GARCH model by allowing conditional heteroskedasticity in the volatility process. We show we are able to filter and forecast both volatility and volatility of volatility simultaneously in this simple setting. The volatility forecast function follows a...

Persistent link: https://www.econbiz.de/10013234440

Seasonality in High Frequency Time Series

Proietti, Tommaso; Pedregal, Diego J. - 2021

Time series observed at higher frequencies than monthly frequency display complex seasonal patterns that result from the combination of multiple seasonal patterns (with annual, monthly, weekly and daily periodicities) and varying periods, due to the irregularity of the calendar. The paper deals...

Persistent link: https://www.econbiz.de/10013240258

Diffusion Limit of Real-Time GARCH

Ding, Yashuang (Dexter) - 2021

We prove that the diffusion limit of Real-Time GARCH (RT-GARCH) exists if we introduce an auxiliary process to replace the squared return in the volatility process. The volatility of the diffusion follows an Ornstein-Uhlenbeck-type process which fails to be positive with probability one unless...

Persistent link: https://www.econbiz.de/10013229473

Conditional Heteroskedasticity in the Volatility of Asset Returns

Ding, Yashuang (Dexter) - 2021

We propose a new class of conditional heteroskedasticity in the volatility (CH-V) models which allows for time-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model of Ding (2021b). CH-V models can be seen as a...

Persistent link: https://www.econbiz.de/10013214647