Realized stochastic volatility with general asymmetry and long memory

DOI DOI HANDLE Web Site Web Site 被引用文献4件 参考文献55件

書誌事項

公開日
2017-08
資源種別
journal article
権利情報
  • https://www.elsevier.com/tdm/userlicense/1.0/
DOI
  • 10.1016/j.jeconom.2017.05.010
  • 10.2139/ssrn.2954454
公開者
Elsevier BV

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説明

Abstract The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (Basmann, 1988), especially for specifying causal effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the RSV-GALM model and a test for general asymmetry, and analyzes the finite sample properties. The paper also develops an approach to obtain volatility estimates and out-of-sample forecasts. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The paper compares the forecasting performance of the new model with a realized conditional volatility model.

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