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Realized volatility forecasting in an international context

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  • Nicholas Taylor

Abstract

The value of overseas information within a volatility forecasting setting is examined. The article innovates by considering the forecasting performance of an augmented version of a popular realized volatility model in which this information is incorporated. An application based on realized volatility data from 13 international stock markets demonstrates that this volatility model delivers improved out-of-sample forecasts.

Suggested Citation

  • Nicholas Taylor, 2015. "Realized volatility forecasting in an international context," Applied Economics Letters, Taylor & Francis Journals, vol. 22(6), pages 503-509, April.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:6:p:503-509
    DOI: 10.1080/13504851.2014.952887
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    1. Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008. "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 46-78.
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    6. Neil Shephard & Kevin Sheppard, 2010. "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.
    7. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, February.
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    Cited by:

    1. Wilms, Ines & Rombouts, Jeroen & Croux, Christophe, 2021. "Multivariate volatility forecasts for stock market indices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 484-499.
    2. Won-Tak Hong & Jiwon Lee & Eunju Hwang, 2020. "A Note on the Asymptotic Normality Theory of the Least Squares Estimates in Multivariate HAR-RV Models," Mathematics, MDPI, vol. 8(11), pages 1-18, November.
    3. Hwang, Eunju & Hong, Won-Tak, 2021. "A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation," Economics Letters, Elsevier, vol. 203(C).

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