Forecasting Realized Volatility with Linear and Nonlinear Models
AbstractIn this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in the paper.
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Bibliographic InfoPaper provided by Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo in its series CARF F-Series with number CARF-F-189.
Length: 27 pages
Date of creation: Oct 2009
Date of revision:
Other versions of this item:
- Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
- McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Report EI 2009-37, Erasmus University Rotterdam, Econometric Institute.
- Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussÃ£o 568, Department of Economics PUC-Rio (Brazil).
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Taylor and Francis Journals, vol. 21(1), pages 1-47.
- Dijk, D.J.C. van & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report EI 2000-23/A, Erasmus University Rotterdam, Econometric Institute.
- van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
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