Realized Stock Volatility

Heiko Ebens

Economics Working Paper Archive from The Johns Hopkins University,Department of Economics

Abstract: Using intradaily high-frequency returns on the Dow Jones Industrial Average portfolio over the January 1993 to May 1996 period we document the properties of interdaily 'realized' volatility and fit a fractionally integrated model that accounts for the leverage effect directly to logarithmic realized variances On the basis of ex ante one-day-ahead prediction criteria we find that this model yields unbiased and accurate variance standard deviation and logarithmic variance predictions and that these predictions clearly improve upon the ones obtained by a GARCH FIGARCH EGARCH and FIEGARCH model

Date: 1999-03, Revised 1999-07
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Citations: View citations in EconPapers (43)

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Persistent link: https://EconPapers.repec.org/RePEc:jhu:papers:420

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