In this article, we show that the residuals of commonly used time-series models for realized volatility and logarithmic realized variance exhibit non-Gaussianity and volatility clustering. We propose extensions to explicitly account for these properties and assess their relevance for modeling and ...
The realized volatility calculated from intraday high-frequency data well measures the risk of financial assets.Therefore studying its forecasting models i... QU Hui,SY Cheng - 《Chinese Journal of Management Science》 被引量: 1发表: 2016年 No. 2005/33 The Volatility of Realized Volatility Using...
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 ...
Considering nonlinear and highly persistent dynamics of realized volatility, we introduce Markov regime switching models to the Heterogeneous Autoregressive model of the Realized Volatility (HAR-RV) models to forecast the realized volatility of the crude oil futures market. In-sample results demonstrate th...
Forecasting the realized volatility of stock price index A hybrid model integrating CEEMDAN and LSTM 预测股票价格指数的实际波动率 CEEMDAN 和 LSTM 的混合模型 波动率:波动率是金融资产价格的波动程度,是对资产收益率不确定性的衡量,用于反映金融资产的风险水平。波动率越高,金融资产价格的波动越剧烈,资产收益率...
[translate] aLog likelihood 日志可能 [translate] aThe realized volatility can underestimate the latent daily volatility by simply summing up the squared intra-day returns when the market is open. 體會的揮發性可能通過簡單總結被擺正的內部天回歸低估潛在每日揮發性,當市場是開放的時。 [translate] ...
Sometimes called the "investor fear gauge", the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX. Changes in the VIX are observed to be negatively correlated with changes in the SPX. However, no ...
which are new methods of volatility estimator,conclusion is draw that in general the realized bipower variation is more efficient than the realized volatility.We also give a theorem that under some condition the more the power of realized multipower variation is,the more efficient the realized ...
Related to realized:realised,Realized return,Realized volatility,Realized niche re·al·ize (rē′ə-līz′) v.re·al·ized,re·al·iz·ing,re·al·iz·es v.tr. 1.To comprehend completely or correctly. 2.To bring into reality; make real:He finally realized his lifelong ambition to learn...
Volatility estimates are much greater than previous estimates. Volatility estimates are similar in North America and Australia. Increasing the observation frequency increases volatility estimates. Jump detection improves with increased lag length in bipower variation.关键词: Realized volatility Bipower ...