- Tytuł:
- FORECASTING THE END-OF-THE-DAY REALIZED VARIANCE
- Autorzy:
-
Doman, Małgorzata
Doman, Ryszard - Powiązania:
- https://bibliotekanauki.pl/articles/453561.pdf
- Data publikacji:
- 2009
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
realized volatility
forecasts
ARFIMA
unobserved component model - Opis:
- A large package of information is being reflected in stock prices during a short period after opening. Moreover, the start-of-the-day (morning) volatility has a strong impact on the price variability during all the day. In this connection, the question is whether the morning realized variance calculated as the sum of morning squared intraday returns can be useful in forecasting the daily realized variance (end-of-the-day volatility). In the paper, we apply three different methods of forecasting the daily realized variance for stocks quoted on the Warsaw Stock Exchange Our findings show that the morning realized variance provides valuable information that can be used in forecasting the daily realized variance.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2009, 10, 1; 67-75
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł