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Information Content of Volatility Forecasts at Medium-term Horizons
Galbraith, John; Kisinbay, Turgut - Centre Interuniversitaire de Recherche en Analyse des … - 2002
Using realized volatility to estimate daily conditional volatility of financial returns, we compare forecasts of daily volatility from standard QML-estimated GARCH models, and from projections on past realized volatilities obtained from high-frequency data. We consider horizons extending to...
Persistent link: https://www.econbiz.de/10005101091
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Adaptive Realized Kernels
Carrasco, Marine; Kotchoni, Rachidi - Centre Interuniversitaire de Recherche en Analyse des … - 2011
We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic … highest frequency. Some time dependence parameters of the noise model must be estimated before adaptive realized kernels can … Jones Industrial. As expected, we find that adaptive realized kernels achieves the optimal trade-off between the …
Persistent link: https://www.econbiz.de/10008839244
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Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data
Galbraith, John; Zernov, Serguei; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001
This paper uses estimation techniques related to those of Galbraith and Zinde-Walsh (2000) for ARCH and GARCH models, based on realized volatility (Andersen and Bollerslev 1998, and others), to estimate the conditional quantiles of daily volatility in samples of equity index and foreign exchange...
Persistent link: https://www.econbiz.de/10005100530
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Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations
Galbraith, John; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001
We consider estimates of the parameters of GARCH models of daily financial returns, obtained using intra-day (high-frequency) returns data to estimate the daily conditional volatility.Two potential bases for estimation are considered. One uses aggregation of high-frequency Quasi- ML estimates,...
Persistent link: https://www.econbiz.de/10005100771
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Analytic Evaluation of Volatility Forecasts
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002
popular continuous-time models as GARCH, multi-factor affine, and log-normal diffusions, we find that the realized volatility …
Persistent link: https://www.econbiz.de/10005100878
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Forecasting Monetary Rules in South Africa
Naraidoo, Ruthira; Paya, Ivan - Department of Economics, Faculty of Economic and … - 2010
This paper is the ?rst one to analyze the ability of linear and nonlinear monetary policy rule specifications as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting that describes the South African Reserve Bank (SARB) policy decisions. We augment the...
Persistent link: https://www.econbiz.de/10008513007
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What Data Should Be Used to Price Options?
Chernov, Mikhail; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1998
In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility models using simultaneously the fundamental price and a set of option contracts. We appraise univariate and multivariate estimation of the model in terms of pricing and hedging...
Persistent link: https://www.econbiz.de/10005100549
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A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1999
The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and … class of processes which nests jump-diffusions previously considered in empirical work and includes the affine class of …
Persistent link: https://www.econbiz.de/10005100581
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Alternative Models for Stock Price Dynamics
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 2002
diffusions, it has important implications for hedging strategies. If logaritmic models are chosen over affine ones, it may … volatility might therefore be preferred because of the closed-form derivatives prices. Nous examinons un ensemble de diffusions …
Persistent link: https://www.econbiz.de/10005100991
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Forecasting Distributions with Experts Advice
Sancetta, A. - Faculty of Economics, University of Cambridge - 2005
This paper considers forecasts of the distribution of data whose distribution function is possibly time varying. The forecast is achieved via time varying combinations of experts’ forecasts. We derive theoretical worse case bounds for general algorithms based on multiplicative updates of the...
Persistent link: https://www.econbiz.de/10005783716