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Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

Author

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  • François-Éric Racicot
  • Raymond Théoret
  • Alain Coën

Abstract

A new literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of UHF-GARCH models to forecast future volatilities on irregularly spaced data. We also compare the out-sample performance of these generalized autoregressive conditional heteroskedastic (GARCH) models with the realized volatility method. We propose a procedure to account for the time deformation problem and show how to use these models for computing daily Value at Risk (VaR). Copyright International Atlantic Economic Society 2008

Suggested Citation

  • François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
    • Handle: RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124:10.1007/s11294-008-9134-2
    DOI: 10.1007/s11294-008-9134-2
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    Cited by:

    1. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
    2. Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity," International Economics, CEPII research center, issue 132, pages 35-89.
    3. Montero, José-María & Naimy, Viviane & Farraj, Nermeen Abi & El Khoury, Rim, 2024. "Natural disasters, stock price volatility in the property-liability insurance market and sustainability: An unexplored link," Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
    4. Josifidis, Kosta & Allegret, Jean-Pierre & Gimet, Céline & Pucar, Emilija Beker, 2014. "Macroeconomic policy responses to financial crises in emerging European economies," Economic Modelling, Elsevier, vol. 36(C), pages 577-591.
    5. Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011. "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, vol. 33(6), pages 1206-1215.

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    More about this item

    Keywords

    Realized volatility; UHF-GARCH; Time deformation; Financial markets; Daily VaR; Historical simulation; C10; G20;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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