Gateway to Think Tanks
来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w8160 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w8160 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565756 |
推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Francis X. Diebold,et al. Modeling and Forecasting Realized Volatility. 2001. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w8160.pdf(337KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。