Ishida, Isao; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2009
In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data. While the homoskedastic ARFIMA model performs excellently in predicting the Nikkei 225 realized volatility time series and their...
