Forecasting Volatility Using A Continuous Time Model

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DC Field	Value	Language
dc.creator	Lopes Moreira da Veiga, Maria Helena	-
dc.date	2007-11-05T13:07:07Z	-
dc.date	2007-11-05T13:07:07Z	-
dc.date	2003-09-04	-
dc.date.accessioned	2017-01-31T00:58:00Z	-
dc.date.available	2017-01-31T00:58:00Z	-
dc.identifier	http://hdl.handle.net/10261/1840	-
dc.identifier.uri	http://dspace.mediu.edu.my:8181/xmlui/handle/10261/1840	-
dc.description	This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the GARCH and ARFIMA models, especially when volatility seems to change pattern. We use ex-post volatility as a proxy of the realized volatility obtained from intraday data and the forecasts from the SV2F are calculated using the reprojection technique proposed by Gallant and Tauchen (1998).	-
dc.language	eng	-
dc.relation	UFAE and IAE Working Papers	-
dc.relation	584.03	-
dc.rights	openAccess	-
dc.subject	Efficient Method of Moments	-
dc.subject	Reprojection	-
dc.subject	Factors of Volatility	-
dc.subject	Fractional Integration	-
dc.title	Forecasting Volatility Using A Continuous Time Model	-
dc.type	Documento de trabajo	-
Appears in Collections:	Digital Csic

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