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Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility [PDF]
Journal of Futures Markets, 2021 AbstractWe forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility. We analyze 10 international stock indices finding that, although a simple HAR model augmented with IV (HAR‐IV) is more accurate than any HAR
David Mcmillan +2 more
exaly +6 more sources
Realized volatility and absolute return volatility: a comparison indicating market risk. [PDF]
PLoS ONE, 2014 Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies.
Zeyu Zheng +4 more
doaj +2 more sources
Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach [PDF]
Financial Innovation, 2023 Because the U.S. is a major player in the international oil market, it is interesting to study whether aggregate and state-level economic conditions can predict the subsequent realized volatility of oil price returns.
Rangan Gupta, Christian Pierdzioch
doaj +2 more sources
The Volatility of Realized Volatility [PDF]
Econometric Reviews, 2008 In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. The construction of “observable” or realized volatility series from intra-day transaction data and the use of standard time-series techniques has lead to promising strategies for modeling and ...
Stefan Mittnik +2 more
exaly +7 more sources
Modeling Realized Variance with Realized Quarticity
Stats, 2022 This paper proposes a model for realized variance that exploits information in realized quarticity. The realized variance and quarticity measures are both highly persistent and highly correlated with each other.
Hiroyuki Kawakatsu
doaj +1 more source
Analysis of Option Trading Strategies Based on the Relation of Implied and Realized S&P500 Volatilities [PDF]
ACRN Journal of Finance and Risk Perspectives, 2021 In this paper, we examine the performance of certain short option trading strategies on the S&P500 with backtesting based on historical option price data. Some of these strategies show significant outperformance in relation to the S&P500 index.
Alexander Brunhuemer +2 more
doaj +1 more source
Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
doaj +1 more source
Economies, 2021 In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and
Hassan Zada +2 more
doaj +1 more source
Realizing Smiles: Options Pricing with Realized Volatility [PDF]
SSRN Electronic Journal, 2011 We develop a discrete-time stochastic volatility option pricing model exploiting the information contained in the Realized Volatility (RV), which is used as a proxy of the unobservable log-return volatility. We model the RV dynamics by a simple and effective long-memory process, whose parameters can be easily estimated using historical data.
CORSI, Fulvio +2 more
openaire +7 more sources
Realized Volatility Risk [PDF]
SSRN Electronic Journal, 2009 In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive.
Allen, David E. +2 more
openaire +9 more sources