Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
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- Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2024. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Econometrics and Statistics, Elsevier, vol. 32(C), pages 34-56.
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Cited by:
- Yuta Kurose, 2021. "Stochastic volatility model with range-based correction and leverage," Papers 2110.00039, arXiv.org, revised Oct 2021.
- Roman V. Ivanov, 2023. "On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model," Risks, MDPI, vol. 11(6), pages 1-23, June.
- Watanabe, Toshiaki & Nakajima, Jouchi, 2023. "High-frequency realized stochastic volatility model," Discussion paper series HIAS-E-127, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Omar Abbara & Mauricio Zevallos, 2022. "Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models," Econometrics, MDPI, vol. 11(1), pages 1-18, December.
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More about this item
Keywords
Exponential GARCH (EGARCH) model; Heterogeneous autoregressive (HAR) model; Markov chain Monte Carlo (MCMC); Realized volatility; Stochastic volatility; Volatility forecasting;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- 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
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2021-01-18 (Central and Western Asia)
- NEP-ETS-2021-01-18 (Econometric Time Series)
- NEP-FMK-2021-01-18 (Financial Markets)
- NEP-FOR-2021-01-18 (Forecasting)
- NEP-ORE-2021-01-18 (Operations Research)
- NEP-RMG-2021-01-18 (Risk Management)
Statistics
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