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Non-Linear Volatility Modelling of Economic and Financial Time Series Using High Frequency Data

journal contribution
posted on 2023-05-18, 09:15 authored by Matei, M
The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to answer to the fundamental latency problem of return volatility. It surveys the most relevant aspects of the volatility topic, suggesting advantages and disadvantages of each alternative in modeling. It reviews the concept of realized volatility and explains why forecasting of volatility is more effective when the model contains a measure of intraday data. A discrete and a continuous time model are defined. Sampling methods at different frequencies are reviewed, and the impact of microstructure noise is considered. Details on procedures employed in the literature with respect to modeling and forecasting using realized models are discussed, while an empirical exercise will prove the advantages of using measures of high frequency data.

History

Publication title

Romanian Journal of Economic Forecasting

Volume

14

Pagination

116-141

ISSN

1582-6163

Department/School

TSBE

Publisher

Institute of Economic Forecasting, Romanian Academy

Place of publication

Bucharest

Rights statement

Copyright 2011 Institute for Economic Forecasting

Repository Status

  • Restricted

Socio-economic Objectives

Measurement standards and calibration services not elsewhere classified

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