Realized volatility: evidence from Brazil
AbstractUsing intraday data for the most actively traded stocks on the SãoPaulo Stock Market (BOVESPA) index, this study considers two recentlydeveloped models from the literature on the estimation and prediction ofrealized volatility: the Heterogeneous Autoregressive Model of RealizedVolatility (HAR-RV), developed by Corsi (2009), and the Mixed DataSampling model (MIDAS-RV), developed by Ghysels et al. (2004). Usingmeasurements to compare in-sample and out-of-sample forecasts, betterresults were obtained with the MIDAS-RV model for in-sample forecasts. For out-of-sample forecasts, however, there was no statistically signi cantdi¤erence between the models. We also found evidence that the use ofrealized volatility induces distributions of standardized returns that arecloser to normal
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Bibliographic InfoPaper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 320.
Date of creation: 09 Nov 2012
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