On the Use of Mixed Sampling in Modelling Realized Volatility: The MEM–MIDAS

Alessandra Amendola (), Vincenzo Candila (), Fabrizio Cipollini () and Giampiero Gallo ()
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Vincenzo Candila: Sapienza University of Rome
Fabrizio Cipollini: University of Florence

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 7-13 from Springer

Abstract: Abstract When dealing with market activity, different frequency of observation may reveal relevant information of interest to model financial time series. We embed a MIDAS (MI(xed)–DA(ta) Sampling) component in a multiplicative error model (MEM) context (MEM–MIDAS). The proposed specification considers a low frequency component, say monthly, in the conditional expectation of a daily non-negative process. The empirical application illustrates the performance of the MEM–MIDAS model on the realized volatility of the NASDAQ index, statistically outperforming the standard MEM model and other popular specifications.

Keywords: Realized volatility; Multiplicative error model; MIDAS (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_2

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DOI: 10.1007/978-3-030-78965-7_2

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