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On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Alessandra Amendola

    (University of Salerno)

  • Vincenzo Candila

    (Sapienza University of Rome)

  • Fabrizio Cipollini

    (University of Florence)

  • Giampiero M. Gallo

    (NYU in Florence)

Abstract

When dealing with market activity, different frequency of observation may reveal relevant information of interest to model financial time series. We embed a MIDAS (MI(xed)–DA(ta) Sampling) component in a multiplicative error model (MEM) context (MEM–MIDAS). The proposed specification considers a low frequency component, say monthly, in the conditional expectation of a daily non-negative process. The empirical application illustrates the performance of the MEM–MIDAS model on the realized volatility of the NASDAQ index, statistically outperforming the standard MEM model and other popular specifications.

Suggested Citation

  • Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo, 2021. "On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 7-13, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_2
    DOI: 10.1007/978-3-030-78965-7_2
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