A new measure of realized volatility: Inertial and reverse realized semivariance

Xin Luo, Yunqing Tao and Kai Zou

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: In this study, based on inertial and reverse price movements, a new measure of realized volatility, inertial realized semivariance (IRV) and reverse realized semivariance (RRV), was proposed. The limit property of the inertial and reverse realized semivariances is established from probability theory. Through the analysis on high frequency data, it shows that IRV and RRV both are effective measures of variation of asset prices and, that RRV and reverse jump variation (RJV) exhibited significant prediction capabilities for future returns. Empirical results of China Securities Index 300 (CSI 300) also show that this new measure of realized volatility has good prediction performance for future realized variances and returns.

Keywords: Realized volatility; Inertial realized semivariance: Reverse realized semivariance; Model confidence set (search for similar items in EconPapers)
JEL-codes: C1 C2 G1 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005882

DOI: 10.1016/j.frl.2021.102658

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