Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector

Gianluca Cubadda, Alain Hecq and Antonio Riccardo ()
Additional contact information
Antonio Riccardo: ICE Data Services Italy

No 445, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: This paper compares the forecasting performances of both univariate and multivariate models for realized volatilities series. We consider realized volatility measures of the returns of 13 major banks traded in the NYSE. Since our variables are characterized by the presence of long range dependence, we use several modelling approaches that are able to capture such feature. We look at the forecasting accuracy of the considered models to make inference on the underlying mechanism that has generated volatilities of the assets. Our main conclusion is that the contagion effect among the considered volatilities is small or, at least, not well captured by the considered multivariate models.

Keywords: Consumption; asymmetry; expectations; noisy information (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2018-10-30, Revised 2018-10-30
New Economics Papers: this item is included in nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/RP445.pdf Main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:445

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().