| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10117 |
| 来源ID | Working Paper 10117 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data | |
| Robert F. Engle; Giampiero M. Gallo | |
| 发表日期 | 2003-11-24 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases, the quality of forecasts should improve. Yet, there is no consensus about a true' or best' measure of volatility. In this paper we propose to jointly consider absolute daily returns, daily high-low range and daily realized volatility to develop a forecasting model based on their conditional dynamics. As all are non-negative series, we develop a multiplicative error model that is consistent and asymptotically normal under a wide range of specifications for the error density function. The estimation results show significant interactions between the indicators. We also show that one-month-ahead forecasts match well (both in and out of sample) the market-based volatility measure provided by an average of implied volatilities of index options as measured by VIX. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w10117 |
| 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/567745 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle,Giampiero M. Gallo. A Multiple Indicators Model for Volatility Using Intra-Daily Data. 2003. |
| 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 | ||
| w10117.pdf（2147KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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