- Autor
- Doman Małgorzata (Poznań University of Economics, Poland)
- Tytuł
- Modeling the Realized Volatility with ARFIMA and Unobserved Component Models: Results from the Polish Financial Market
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 121-135, rys., tab., bibliogr. s. 135
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Model ARFIMA, Procesy zmienności stochastycznej, Ekonometria, Rynki finansowe
Autoregressive fractionally integrated moving average model (ARFIMA), Stochastic Volatility Processes, Econometrics, Financial markets - Abstrakt
- Chapter 7 is focused on the notion of realized volatility in financial econometrics. The chapter presents an approach to the estimation of the daily realized volatility based on intraday returns. It also takes into account effects of market microstructure. The volatility has been modeled and predicted for stock index WIG20 and exchange rate USD/PLN using ARFIMA and unobserved component models. The findings are that modeling realized volatility with UC and ARFIMA models provides comparable volatility forecasts. (fragment of text)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
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- Bandorff-Nielsen O. E., Shephard N. (2002), "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Valatility Models", Journal of the Royal statistical Society, 64, Series B, 253-280.
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- Koopman S. J., Hoi E. (2002), "Stock Index Volatility Forecasting with High Frequency Data", Tinbergen Institute Discussion Paper, 068/4.
- Lo A. W. (1991), "Long-Term Memory in Stock Market Prices", Econometrica, 59, 1279-1313.
- Martens M. (2002), "Measuring and Forecasting S&P 500 Index-Futures Volatility Using High-Frequency Data", Journal of Futures Markets, 22, 497-518.
- Robinson P. M. (1994), "Semiparametric Analysis of Long-Memory Time Series", Annals of Statistics, 22, 515-539.
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- Cytowane przez
- Język
- eng
