Realized volatility: evidence from Brazil
Using intraday data for the most actively traded stocks on the São Paulo Stock Market (BOVESPA) index, this study considers two recently developed models from the literature on the estimation and prediction of realized volatility: the Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV), developed by Corsi (2009), and the Mixed Data Sampling model (MIDAS-RV), developed by Ghysels et al. (2004). Using measurements to compare in-sample and out-of-sample forecasts, better results were obtained with the MIDAS-RV model for in-sample forecasts. For out-of-sample forecasts, however, there was no statistically signi cant di¤erence between the models. We also found evidence that the use of realized volatility induces distributions of standardized returns that are closer to normal
|Date of creation:||09 Nov 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Rua Itapeva, 474, 13o andar, CEP 01332-000, São Paulo - SP|
Phone: 55 (011) 3799-3350
Fax: 55 (011) 3799-3357
Web page: http://eesp.fgv.br
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fgv:eesptd:320. 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: (Núcleo de Computação da EPGE)
If references are entirely missing, you can add them using this form.