Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

François-Éric Racicot (), Raymond Théoret () and Alain Coën ()

International Advances in Economic Research, 2008, vol. 14, issue 1, 112-124

Abstract: A new literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of UHF-GARCH models to forecast future volatilities on irregularly spaced data. We also compare the out-sample performance of these generalized autoregressive conditional heteroskedastic (GARCH) models with the realized volatility method. We propose a procedure to account for the time deformation problem and show how to use these models for computing daily Value at Risk (VaR). Copyright International Atlantic Economic Society 2008

Keywords: Realized volatility; UHF-GARCH; Time deformation; Financial markets; Daily VaR; Historical simulation; C10; G20 (search for similar items in EconPapers)
Date: 2008
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Working Paper: Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models (2006)
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DOI: 10.1007/s11294-008-9134-2

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