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Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 04-067/4
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model to realized volatilities of the S&P 500 stock index and three exchange rates produces forecasts that clearly improve upon the ones obtained from a linear ARFIMA model and from conventional time-series models based on daily returns, treating volatility as a latent variable.
Schlagwörter: 
Realized volatility
high-frequency data
long memory
day-of-the-week effect
leverage effect
volatility forecasting
smooth transition
JEL: 
C22
C53
G15
Dokumentart: 
Working Paper
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