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A Markov-switching Multifractal Approach to Forecasting Realized Volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - Institut für Weltwirtschaft (IfW) - 2011
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...
Persistent link: https://www.econbiz.de/10009351451
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Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility
Lux, Thomas; Leonardo Morales‐Arias; Sattarhoff, Cristina - In: Journal of Forecasting 33 (2014) 7, pp. 532-541
Persistent link: https://www.econbiz.de/10011085364
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A Markov-switching multifractal approach to forecasting realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...
Persistent link: https://www.econbiz.de/10010278826
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Forecasting the Variability of Stock Index Returns with the Multifractal Random Walk Model for Realized Volatilities
Sattarhoff, Cristina; Lux, Thomas - 2021
We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...
Persistent link: https://www.econbiz.de/10012672395
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Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
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A Markov-switching multifractal approach to forecasting realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...
Persistent link: https://www.econbiz.de/10009314521
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Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina; Lux, Thomas - 2021
We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...
Persistent link: https://www.econbiz.de/10012672178
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Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344