realized volatilityWe forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility. We analyze 10 international stock indices finding that, although a simple HAR ...
of the GARCH-type innovations. The inconclusive results drawn from the literature, coupled with the relatively few published works on this topic (only two papers addressing the electricity markets), render more in-depth analysis on the topic of modeling the volatility of realized volatility in ...
The volatility of realized volatility Econom. Rev., 27 (1-3) (2008), pp. 46-78 CrossrefView in ScopusGoogle Scholar Diaz and de Gracia, 2017 E.M. Diaz, F.P. de Gracia Oil price shocks and stock returns of oil and gas corporations Finance Res. Lett., 20 (2017), pp. 75-80 Vie...
Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this “realized” volatility approach in the context of investment decisions. Our results indica...
RealVol LLC trades realized-volatility contracts - futures-like instruments that capture the realized volatility of some underlying asset, index, security, or instrument.
Recent work suggests that intradaily returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. We measure the economic value of this "realized" volatility approach in the context of investment decisions. Our results indicate...
RealVol LLC trades realized-volatility contracts - futures-like instruments that capture the realized volatility of some underlying asset, index, security, or instrument.
equity premium predictabilitydividendsimplied and realized volatilityThis note provides a replication of Martin's (Quarterly Journal of Economics; 2017) finding that the implied volatility measure SVIX predicts US stock market reSocial Science Electronic Publishing...
Andersen and Bollerslev (1998) made the seminal contribution for proposing realized volatility/ realized variance1 (RV) constituted by high-frequency data. RV has become an essential way of measuring actual volatility since the advantages of more information, less noise, unbiasedness, and robustness (...
market, the realized volatility (RV) of the FXI and the implied volatility (IV) of the FXI options may have predictive power for the SSE 50 ETF volatility. We use both in-sample and out-of-sample predictive regressions to examine the monthly and daily volatility predictability. We investigate...