Time-Varying Parameter Realized Volatility Models

被引：45

作者：

Wang, Yudong ^{[1
]}

Pan, Zhiyuan ^{[2
,3
]}

Wu, Chongfeng ^{[4
]}

机构：

[1] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China

[2] Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, 555 Liutai Ave, Chengdu 611130, Sichuan, Peoples R China

[3] Collaborat Innovat Ctr Financial Secur, Chengdu, Sichuan, Peoples R China

[4] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China

来源：

JOURNAL OF FORECASTING | 2017年 / 36卷 / 05期

基金：

美国国家科学基金会;

关键词：

realized volatility; time-varying parameter; heterogeneous autoregressive realized volatility model; specification test; forecasting; EXCHANGE-RATE VOLATILITY; STRUCTURAL BREAKS; LONG-MEMORY; NONPARAMETRIC REGRESSION; RETURN VOLATILITY; GARCH MODEL; SERIES; MARKET;

D O I：

10.1002/for.2454

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we introduce the functional coefficient to heterogeneous autoregressive realized volatility (HAR-RV) models to make the parameters change over time. A nonparametric statistic is developed to perform a specification test. The simulation results show that our test displays reliable size and good power. Using the proposed test, we find a significant time variation property of coefficients to the HAR-RV models. Time-varying parameter (TVP) models can significantly outperform their constant-coefficient counterparts for longer forecasting horizons. The predictive ability of TVP models can be improved by accounting for VIX information. Copyright (C) 2016 John Wiley & Sons, Ltd.

引用

页码：566 / 580

页数：15

共 49 条

[1]

Andersen T. G., 2000, Multinational Finance Journal, V4, P159, DOI [10.17578/4-3/4-2, DOI 10.17578/4-3/4-2]

[2] The distribution of realized stock return volatility [J].

Andersen, TG ;

Bollerslev, T ;

Diebold, FX ;

Ebens, H .

JOURNAL OF FINANCIAL ECONOMICS, 2001, 61 (01) :43-76

[3] Answering the skeptics: Yes, standard volatility models do provide accurate forecasts [J].

Andersen, TG ;

Bollerslev, T .

INTERNATIONAL ECONOMIC REVIEW, 1998, 39 (04) :885-905

[4] The distribution of realized exchange rate volatility [J].

Andersen, TG ;

Bollerslev, T ;

Diebold, FX ;

Labys, P .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2001, 96 (453) :42-55

[5] Modeling and forecasting realized volatility [J].

Andersen, TG ;

Bollerslev, T ;

Diebold, FX ;

Labys, P .

ECONOMETRICA, 2003, 71 (02) :579-625

[6] Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities [J].

Andersen, TG ;

Bollerslev, T ;

Meddahi, N .

ECONOMETRICA, 2005, 73 (01) :279-296

[7] Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility [J].

Andersen, Torben G. ;

Bollerslev, Tim ;

Diebold, Francis X. .

REVIEW OF ECONOMICS AND STATISTICS, 2007, 89 (04) :701-720

[8] Realized volatility forecasting and market microstructure noise [J].

Andersen, Torben G. ;

Bollerslev, Tim ;

Meddahi, Nour .

JOURNAL OF ECONOMETRICS, 2011, 160 (01) :220-234

[9]

[Anonymous], 1995, MONOGRAPHS STAT APPL

[10] Nonparametric correlation models for portfolio allocation [J].

Aslanidis, Nektarios ;

Casas, Isabel .

JOURNAL OF BANKING & FINANCE, 2013, 37 (07) :2268-2283

← 1 2 3 4 5 →