On forecasting daily stock volatility: The role of intraday information and market conditions
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
- Engle, Robert F. & Gallo, Giampiero M., 2006.
"A multiple indicators model for volatility using intra-daily data,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 3-27.
- Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc.
- Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Pong, Shiuyan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2004. "Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2541-2563, October.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006.
"Predicting volatility: getting the most out of return data sampled at different frequencies,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
- Clark, Todd E. & McCracken, Michael W., 2001.
"Tests of equal forecast accuracy and encompassing for nested models,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
- Ole E. Barndorff-Nielsen, 2004.
"Power and Bipower Variation with Stochastic Volatility and Jumps,"
Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.
- Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-259, April.
- Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007.
"Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility,"
The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers 2007-18, Department of Economics and Business Economics, Aarhus University.
- Bandi, Federico M. & Russell, Jeffrey R., 2006. "Separating microstructure noise from volatility," Journal of Financial Economics, Elsevier, vol. 79(3), pages 655-692, March.
- Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Elena Kalotychou & Sotiris Staikouras, 2006. "Volatility and trading activity in Short Sterling futures," Applied Economics, Taylor & Francis Journals, vol. 38(9), pages 997-1005.
- Taylor, Stephen J. & Xu, Xinzhong, 1997. "The incremental volatility information in one million foreign exchange quotations," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 317-340, December.
- Patton, Andrew J., 2011.
"Volatility forecast comparison using imperfect volatility proxies,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
- Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
- Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
- Taylor, Stephen J., 1987. "Forecasting the volatility of currency exchange rates," International Journal of Forecasting, Elsevier, vol. 3(1), pages 159-170.
- 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.
- Lars Forsberg & Eric Ghysels, 2007. "Why Do Absolute Returns Predict Volatility So Well?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 31-67.
- Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
- R. Glen Donaldson & Mark J. Kamstra, 2005.
"Volatility Forecasts, Trading Volume, And The Arch Versus Option‐Implied Volatility Trade‐Off,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(4), pages 519-538, December.
- Glen Donaldson & Mark Kamstra, 2004. "Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off," FRB Atlanta Working Paper 2004-6, Federal Reserve Bank of Atlanta.
- Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December.
- Laux, Paul A. & Ng, Lilian K., 1993. "The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 543-560, October.
- Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:lan:wpaper:3046 is not listed on IDEAS
- repec:lan:wpaper:3324 is not listed on IDEAS
- repec:lan:wpaper:592830 is not listed on IDEAS
- Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015.
"Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
- Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
- Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.
- Douglas G. Santos & Flavio A. Ziegelmann, 2014. "Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 284-299, July.
- Gael M. Martin & Andrew Reidy & Jill Wright, 2009.
"Does the option market produce superior forecasts of noise-corrected volatility measures?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104.
- Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics.
- Tian, Fengping & Yang, Ke & Chen, Langnan, 2017. "Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity," International Journal of Forecasting, Elsevier, vol. 33(1), pages 132-152.
- Chun Liu & John M. Maheu, 2009.
"Forecasting realized volatility: a Bayesian model-averaging approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
- Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics.
- Ruijun Bu & Rodrigo Hizmeri & Marwan Izzeldin & Anthony Murphy & Mike G. Tsionas, 2019. "The Contribution of Jump Activity and Sign to Forecasting Stock Price Volatility," Working Papers 1902, Federal Reserve Bank of Dallas, revised 17 Nov 2020.
- Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
- Francesco Audrino & Yujia Hu, 2016.
"Volatility Forecasting: Downside Risk, Jumps and Leverage Effect,"
Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-24, February.
- Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
- Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
- Tseng, Tseng-Chan & Lee, Chien-Chiang & Chen, Mei-Ping, 2015. "Volatility forecast of country ETF: The sequential information arrival hypothesis," Economic Modelling, Elsevier, vol. 47(C), pages 228-234.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
- Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016.
"Do We Need High Frequency Data to Forecast Variances?,"
Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174.
- Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.
- Sévi, Benoît, 2014.
"Forecasting the volatility of crude oil futures using intraday data,"
European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
- Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Post-Print hal-01463921, HAL.
- Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Working Papers 2014-53, Department of Research, Ipag Business School.
- Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
- Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, vol. 36(C), pages 332-340.
- Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011.
"A reduced form framework for modeling volatility of speculative prices based on realized variation measures,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
- Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, Department of Economics and Business Economics, Aarhus University.
- Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Maheu, John M. & McCurdy, Thomas H., 2011.
"Do high-frequency measures of volatility improve forecasts of return distributions?,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
- John M Maheu & Thomas H McCurdy, 2008. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers tecipa-324, University of Toronto, Department of Economics.
- John M. Maheu & Thomas H. McCurdy, 2009. "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper series 19_09, Rimini Centre for Economic Analysis.
- Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
More about this item
Keywords
Conditional variance Realised volatility Nonparametric estimators Intraday prices Superior predictive ability;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:25:y:2009:i:2:p:259-281. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Haili He). General contact details of provider: http://www.elsevier.com/locate/ijforecast .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.