Results 31 to 40 of about 6,227 (165)

Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component

Journal of Industrial Engineering and Management, 2010
In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic ‘heterogeneous autoregressive’ (HAR) and its variant.
Manish Kumar
doaj   +1 more source

Can the Baidu Index predict realized volatility in the Chinese stock market?

Financial Innovation, 2021
This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.
Wei Zhang, Kai Yan, Dehua Shen
doaj   +1 more source

Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil

BBR: Brazilian Business Review, 2016
This paper investigates whether the inclusion of the realized range as regressor in the (E)GARCH volatility equation would add information to the process improving out - of - sample forecasts performance and providing more accurate ...
Victor Bello Accioly, Beatriz Vaz de Melo Mendes   +1 more
doaj  

Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange

Financial Innovation, 2023
Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005–2013, we analyze the impact of trading hours ...
Michael Frömmel, Eyup Kadioglu
doaj   +1 more source

Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

Financial Innovation, 2023
This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone, and Japan), and commodity (gold and oil) markets. Using intraday data from 2020 to 2022 and the time and frequency connectedness models
Waqas Hanif, Hee-Un Ko, Linh Pham, Sang Hoon Kang   +3 more
doaj   +1 more source

Testing the Lag Structure of Assets’ Realized Volatility Dynamics

Quantitative Finance and Economics, 2017
A (conservative) test is applied to investigate the optimal lag structure for modelingrealized volatility dynamics. The testing procedure relies on the recent theoretical results that showthe ability of the adaptive least absolute shrinkage and selection
Francesco Audrino, Lorenzo Camponovo, Constantin Roth   +2 more
doaj   +1 more source

A hybrid econometrics and machine learning based modeling of realized volatility of natural gas

Financial Innovation
Determining which variables affect price realized volatility has always been challenging. This paper proposes to explain how financial assets influence realized volatility by developing an optimal day-to-day forecast. The methodological proposal is based
Werner Kristjanpoller
doaj   +1 more source

Daily value-at-risk modeling and forecast evaluation: The realized volatility approach

Journal of Finance and Data Science, 2016
One of the main applications of conditional volatility modeling and forecasting of financial assets is the value-at-risk (VaR) estimation that is used by financial institutions for reporting the daily capital in risk.
Zhen Yao Wong, Wen Cheong Chin, Siow Hooi Tan   +2 more
doaj   +1 more source

Dynamic Network Connectedness of Bitcoin Markets: Evidence from Realized Volatility

Frontiers in Physics, 2020
In this paper, we explore the volatility spillovers across different Bitcoin markets. We decompose the realized volatility into common and idiosyncratic volatilities, as well as the good and bad volatilities.
Shuanglian Chen, Hao Dong
doaj   +1 more source

On the relationship of implied, realized and historical volatility: evidence from NSE equity index options

Journal of Business Economics and Management, 2014
This study examines the information content of implied volatility, using the options of the underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are calculated using non-overlapping monthly at-the-money samples ...
Puja Padhi, Imlak Shaikh
doaj   +1 more source