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Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

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Author Info
François-Éric Racicot ()
Raymond Théoret ()
Alain Coën ()

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File URL: http://hdl.handle.net/10.1007/s11294-008-9134-2
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Publisher Info
Article provided by Springer in its journal International Advances in Economic Research.

Volume (Year): 14 (2008)
Issue (Month): 1 (February)
Pages: 112-124
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Handle: RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124

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Web page: http://www.springerlink.com/link.asp?id=112112

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Related research
Keywords: Realized volatility UHF-GARCH Time deformation Financial markets Daily VaR Historical simulation C10 G20

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References listed on IDEAS
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  1. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March. [Downloadable!] (restricted)
  2. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477. [Downloadable!]
  3. Ole Barndorff-Nielsen & Neil Shephard, 2000. "Non-Gaussian OU based models and some of their uses in financial economics," OFRC Working Papers Series 2000mf01, Oxford Financial Research Centre. [Downloadable!]
  4. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  5. Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
  6. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August. [Downloadable!] (restricted)
    Other versions:
    • Gourieroux, C. & Jasiak, J. & Le Fol, G., 1996. "Intra-Day Market Activity," Papers 9633, Institut National de la Statistique et des Etudes Economiques-.
  7. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  8. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:
  9. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280. [Downloadable!] (restricted)
    Other versions:
  10. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 17-46, January. [Downloadable!] (restricted)
  11. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508. [Downloadable!]
  12. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December. [Downloadable!] (restricted)
  13. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December. [Downloadable!] (restricted)
  14. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  15. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 533-558, December. [Downloadable!] (restricted)
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