A Mixture Multiplicative Error Model for Realized Volatility
The Journal of Financial Econometrics, 2006, vol. 4, issue 4, 594-616
A multiplicative error model with time-varying parameters and an error term following a mixture of gamma distributions is introduced. The model is fitted to the daily realized volatility series of deutschemark/dollar and yen/dollar returns and is shown to capture the conditional distribution of these variables better than the commonly used autoregressive fractionally integrated moving average model. The forecasting performance of the new model is found to be, in general, superior to that of the set of volatility models recently considered by Andersen et al. (2003, Econometrica 71, 579--625) for the same data. Copyright 2006, Oxford University Press.
References: Add references at CitEc
Citations: View citations in EconPapers (37) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: A Mixture Multiplicative Error Model for Realized Volatility (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:4:y:2006:i:4:p:594-616
Ordering information: This journal article can be ordered from
Access Statistics for this article
The Journal of Financial Econometrics is currently edited by Allan Timmermann and Fabio Trojani
More articles in The Journal of Financial Econometrics from Society for Financial Econometrics Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().