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عنوان فارسی مقاله:
مدل بردارشاخص خود کاهشی ناهمگن برای مقیاس نوسانات تحقق یافته
عنوان انگلیسی مقاله:
A vector heterogeneous autoregressive index model for realized volatility measures
سال انتشار : 2017
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بخشی از مقاله انگلیسی:
5. Empirical application
This section illustrates our approach, with the aim of detecting the existence of common components within ten realized volatility measures. Following Patton and Sheppard (2009), the main idea is to build linear combinations of different volatility indicators and evaluate their merits through an out-of-sample forecasting exercise. In particular, the target variable should be an unbiased proxy for the unobserved quadratic variation (QV), whereas the predictors are (linear combinations of the) lags of the individual indicators and their linear combinations. Following Liu, Patton, and Sheppard (2015), Patton (2011) and Patton and Sheppard (2009), and for the sake of comparison with those papers, we use the daily squared open-toclose return r˜ 2 t as our target variable for the latent volatility measure. The daily squared return is assumed to be free from microstructure and other biases, and so is an unbiased, albeit noisy, estimator of QV. Moreover, since as our main goal is to construct a combination of realized volatility measures, we should not use one of the measures that is
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کلمات کلیدی:
Adaptive Heterogeneous Autoregressive Models of Realized Volatility ... https://www.hindawi.com/journals/aaa/2014/943041/ by H Qu - 2014 - Cited by 2 - Related articles May 20, 2014 - The heterogeneous autoregressive (HAR) models of high-frequency realized ... to that of the GARCH(1,1) model for S&P 100 index volatility. [PDF]Heterogeneous Autoregressive Model of the Realized ... - wseas.us www.wseas.us/e-library/conferences/2012/Zlin/FAA/FAA-04.pdf by P SEĎA - Related articles Heterogeneous Autoregressive Model of the Realized Volatility: ... index data show remarkably good in-sample forecasting performance which steadily and ... [PDF]A Vector Heterogeneous Autoregressive Index Model for Realized ... www.economia.uniroma2.it/public/MEI//CUBADDA_ICEEE_2015.pdf Jun 6, 2015 - A Vector Heterogeneous Autoregressive Index Model for. Realized Volatilities. Gianluca Cubadda. Università di Roma “Tor Vergata". Barbara ... A vector heterogeneous autoregressive index model for realized ... https://www.econbiz.de/...heterogeneous-autoregressive-index-model-for-realized.../1... A vector heterogeneous autoregressive index model for realized volatility measures. Gianluca Cubadda, Barbara Guardabascio, Alain Hecq ... Volatility Forecast in Crises and Expansions - MDPI www.mdpi.com/1911-8074/8/3/311/pdf by S Pypko - 2015 - Cited by 1 - Related articles Aug 5, 2015 - heterogeneous autoregressive model and GARCH specifications. Finally, we show ...... logarithm of the realized variance of the S&P500 index. [PDF]Performance of Heterogeneous Autoregressive Models of Realized ... waset.org/.../performance-of-heterogeneous-autoregressive-models-of-realized-volatil... by P Seďa - Related articles Abstract—This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the ...
