Realized Stock Volatility
Using intradaily high-frequency returns on the Dow Jones Industrial Average portfolio over the January 1993 to May 1996 period we document the properties of interdaily 'realized' volatility and fit a fractionally integrated model that accounts for the leverage effect directly to logarithmic realized variances On the basis of ex ante one-day-ahead prediction criteria we find that this model yields unbiased and accurate variance standard deviation and logarithmic variance predictions and that these predictions clearly improve upon the ones obtained by a GARCH FIGARCH EGARCH and FIEGARCH model
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|Date of creation:||Mar 1999|
|Date of revision:||Jul 1999|
|Contact details of provider:|| Postal: 3400 North Charles Street Baltimore, MD 21218|
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