The Volatility of Realized Volatility

DOI10.1080/07474930701853616zbMath1359.91032OpenAlexW2146270957MaRDI QIDQ3539863

Christian Pigorsch, Fulvio Corsi, Uta Pigorsch, Stefan Mittnik

Publication date: 19 November 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701853616

zbMATH Keywords

financenormal inverse Gaussian distributionrealized volatilitydensity forecastingrealized quarticityHAR-GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (41)

A multivariate volatility vine copula model ⋮ Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Forecasting realized volatility: a review ⋮ Infinite-order, long-memory heterogeneous autoregressive models ⋮ A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects ⋮ Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation ⋮ 24-Hour realized volatilities and transatlantic volatility interdependence ⋮ Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics ⋮ Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump ⋮ Managing risk with a realized copula parameter ⋮ Nonlinear high-frequency stock market time series: Modeling and combine forecast evaluations ⋮ Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility ⋮ The contribution of intraday jumps to forecasting the density of returns ⋮ Nonlinear scaling analysis approach of agent-based Potts financial dynamical model ⋮ Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems ⋮ Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system ⋮ Score-driven models for realized volatility ⋮ A simple joint model for returns, volatility and volatility of volatility ⋮ Estimating dynamic copula dependence using intraday data ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ Yield curves from different bond data sets ⋮ Modeling tick-by-tick realized correlations ⋮ SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS ⋮ Realized Volatility and Long Memory: An Overview ⋮ Realized Volatility: A Review ⋮ Quantile forecasts for financial volatilities based on parametric and asymmetric models ⋮ Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors ⋮ Detecting structural breaks in realized volatility ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Heterogenous market hypothesis evaluation using multipower variation volatility ⋮ An integrated heteroscedastic autoregressive model for forecasting realized volatilities ⋮ A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series ⋮ The Benefits of Bagging for Forecast Models of Realized Volatility ⋮ A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation ⋮ Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics ⋮ Non-negativity conditions for the hyperbolic GARCH model ⋮ Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market ⋮ The long memory HEAVY process: modeling and forecasting financial volatility ⋮ A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities ⋮ Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method ⋮ Generalized autoregressive moving average models with GARCH errors

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Modelling structural breaks, long memory and stock market volatility: an overview
• Consistent ranking of volatility models
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Unconditional and conditional distributional models for the Nikkei index
• Long memory relationships and the aggregation of dynamic models
• A simple nonlinear time series model with misleading linear properties
• Processes of normal inverse Gaussian type
• Fat tails and asymmetry in financial volatility models.
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000
• Modeling volatility persistence of speculative returns: a new approach
• Long memory in continuous-time stochastic volatility models
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Discrete sine transform for multi-scale realized volatility measures
• Predictive Inference for Integrated Volatility
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Scoring Rules for Continuous Probability Distributions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Forecasting Economic Time Series
• The Distribution of Realized Exchange Rate Volatility
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A Tale of Two Time Scales
• Remarks on a Multivariate Transformation
• Long memory and regime switching

This page was built for publication: The Volatility of Realized Volatility