Moderate and Extreme Volatility: Do the Magnitude of Returns Matter for Forecasting?
|
Submitted Version
(PDF 216kB)
42490210. |
Description
This paper proposes a novel decomposition of realized volatility (RV) into moderate and extreme realized volatility estimates. These estimates behave like long and short term components of volatility, and are very different from either realized semi-variance or the continuous and jump components of volatility. Within the standard linear HAR framework, a forecast comparison exercise using index returns shows that employing the new decomposition leads to forecasts that are often superior to the competing forecasts based on existing realized measures.
Impact and interest:
Citation counts are sourced monthly from Scopus and Web of Science® citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.
Full-text downloads:
Full-text downloads displays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
| ID Code: | 136995 | ||
|---|---|---|---|
| Item Type: | Working Paper (Working Paper) | ||
| Refereed: | No | ||
| ORCID iD: |
|
||
| Keywords: | Realized volatility, HAR model, moderate volatility, extreme volatility, forecasting | ||
| DOI: | 10.2139/ssrn.3443259 | ||
| Pure ID: | 42490210 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
||
| Copyright Owner: | The Author(s) | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
| Deposited On: | 02 Feb 2020 17:24 | ||
| Last Modified: | 02 Mar 2024 09:59 |
Export: EndNote | Dublin Core | BibTeX
Repository Staff Only: item control page
CORE (COnnecting REpositories)
CORE (COnnecting REpositories)