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Forecasting Realized Volatility with Linear and Nonlinear Models
McAleer, Michael; Medeiros, Marcelo C. - 2010
In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...
Persistent link: https://www.econbiz.de/10011807392
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Realized volatility: a review
McAleer, Michael; Medeiros, Marcelo C. - 2006
problems in terms of consistent estimation of the daily realized volatility. Independent and dependent noise processes are … model is presented to discuss estimation of the realized covariances. Various issues relating to modelling and forecasting …
Persistent link: https://www.econbiz.de/10011807355