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Implied Volatility Forecasting Realized Volatility
2021This chapter conducts an empirical analysis of IV to forecast the RV through testing hypothesis 1–9. The analysis includes three steps. First, estimate the IV for ATM price of currency options with 1-, 2-, and 3-month maturity during opening, midday, and closing period.
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Realize the Realized Stock Index Volatility
Asian Economic Journal, 2004This paper constructs estimates of daily stock index volatilities and correlation using high‐frequency (one‐minute) intraday stock indices. The key feature of these ‘realized’ volatilities and correlations is that they are not only model‐free but also approximately measurement‐error‐free.
Ho‐Chuan (River) Huang +1 more
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Overnight volatility, realized volatility, and option pricing
Journal of Futures Markets, 2022AbstractThe equity market is not trading around the clock, and the overnight information has been proved be important for understanding pricing anomalies, improving volatility forecasting accuracy, and so forth. However, there is little research investigating its impact on option pricing.
Tianyi Wang +3 more
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Forecasting realized volatility: A review
Journal of the Korean Statistical Society, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Option Pricing Using Realized Volatility
SSRN Electronic Journal, 2008In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns.
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Stationary bootstrapping realized volatility
Statistics & Probability Letters, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hwang, Eunju, Shin, Dong Wan
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24-Hour realized volatilities and transatlantic volatility interdependence
Quantitative Finance, 2014This paper proposes an innovative econometric approach for the computation of 24-hour realized volatilities across stock markets in Europe and the US. In particular, we deal with the problem of non-synchronous trading hours and intermittent high-frequency data during overnight non-trading periods. Using high-frequency data for the Euro Stoxx 50 and the
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Realized volatility and transactions
Journal of Banking & Finance, 2006Abstract This paper re-examines the impact of number of trades, trade size and order imbalance on daily stock returns volatility. In contrast to prior studies, we estimate daily volatility using realized volatility obtained by summing up intraday squared returns.
Chan, C.C., Fong, W.M.
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Dynamic volatility management: from conditional volatility to realized volatility
Journal of Investment Strategies, 2019The volatility of concern in conventional volatility-managed strategies such as volatility-targeting strategy and mean-variance optimization is the expected conditional volatility. However for investors, it is the realized volatility that is important, because there is only one realization in the market.
Rongju Zhang +3 more
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Intraday Realized Volatility Measures
2015This chapter presents techniques for the construction of realized volatility measures. The focus is on the creation of a realized volatility measure which will be accurate and straightforward to implement, i.e. not extremely complicated in its construction, not too time consuming in its computation.
Stavros Degiannakis, Christos Floros
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