Showing 1 - 10 of 4,152
This paper compares several statistical models for daily stock return volatility in terms of sample fit and out … errors provide a better description for the conditional volatility. In addition, we outline some stylized facts about … volatility that are not captured by conventional ARCH or GARCH models, but are considered by the asymmetric models and document …
Persistent link: https://www.econbiz.de/10008685119
What are the advances introduced by realized volatility models in pricing options? In this short paper we analyze a … simple option pricing framework based on the dually asymmetric realized volatility model, which emphasizes extended leverage … effects and empirical regularity of high volatility risk during high volatility periods. We conduct a brief empirical analysis …
Persistent link: https://www.econbiz.de/10010869946
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …
Persistent link: https://www.econbiz.de/10010907411
This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and … Renó (2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial … considered assets do not contain incremental information for the one-step ahead realized volatility. The volatility of S&P 500 …
Persistent link: https://www.econbiz.de/10011041795
forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …
Persistent link: https://www.econbiz.de/10011272593
The aim of this paper is to assess to what extent intraday data can explain and predict end-of-the-day volatility …. Using a realized volatility measure as proposed by Andersen, T., T. Bollerslev, F. Diebold, and P. Labys. 2001. The … distribution of realized exchange rate volatility. Journal of the American Statistical Association 96: 42-55, we hypothesize that …
Persistent link: https://www.econbiz.de/10005471842
> 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/10011257135
In this paper we compared two distinct volatility forecasting approaches. GARCH models were contrasted to the models … which modelled proxies of volatility directly. More precisely, focus was put on the economic valuation of forecasting … accuracy of one-day-ahead volatility forecasts. Profits from trading of one-day at-the-money straddles on the hypothetical …
Persistent link: https://www.econbiz.de/10010827802
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 high frequency intra-day returns. We also consider a simple algorithm …
Persistent link: https://www.econbiz.de/10010732616
Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent … changes in volatility following an abrupt crisis and to accommodate different dynamic responses within each regime. The model … is applied to the realized volatility of the S&P500 index: next to an interesting interpretation of the regimes in terms …
Persistent link: https://www.econbiz.de/10010862522