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来源类型Working Paper
规范类型报告
DOI10.3386/w8160
来源IDWorking Paper 8160
Modeling and Forecasting Realized Volatility
Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Paul Labys
发表日期2001-03-01
出版年2001
语种英语
摘要This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and distributions rely on restrictive and complicated parametric multivariate ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility constructed from high-frequency intraday returns, in contrast, permits the use of traditional time series procedures for modeling and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next, using continuously recorded observations for the Deutschemark Dollar and Yen / Dollar spot exchange rates covering more than a decade, we find that forecasts from a simple long-memory Gaussian vector autoregression for the logarithmic daily realized volatilities perform admirably compared to popular daily ARCH and related models. Moreover, the vector autoregressive volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically grounded assumption of normally distributed standardized returns, gives rise to well-calibrated density forecasts of future returns, and correspondingly accurate quantile estimates. Our results hold promise for practical modeling and forecasting of the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications.
主题Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w8160
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/565756
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GB/T 7714
Torben G. Andersen,Tim Bollerslev,Francis X. Diebold,et al. Modeling and Forecasting Realized Volatility. 2001.
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