Volatility forecasting using high frequency data: Evidence from stock markets

Sibel Çelik and Hüseyin Ergin

Economic Modelling, 2014, vol. 36, issue C, 176-190

Abstract: The paper aims to suggest the best volatility forecasting model for stock markets in Turkey. The findings of this paper support the superiority of high frequency based volatility forecasting models over traditional GARCH models. MIDAS and HAR-RV-CJ models are found to be the best among high frequency based volatility forecasting models. Moreover, MIDAS model performs better in crisis period. The findings of paper are important for financial institutions, investors and policy makers.

Keywords: Volatility; Realized volatility; High frequency data; Price jumps (search for similar items in EconPapers)
JEL-codes: C22 G00 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:36:y:2014:i:c:p:176-190

DOI: 10.1016/j.econmod.2013.09.038

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