Modeling and Forecasting of Realized Volatility: Evidence from Brazil
Marcos Vinicio Wink and
Pedro Valls Pereira ()
Brazilian Review of Econometrics, 2011, vol. 31, issue 2
Using intraday data for the most actively traded stocks of BOVESPA, this work has considered two recently developed models in the literature of the estimation and forecasting of realized volatility; The Heterogeneous Autorregressive Model of Realized Volatility (HAR-RV), developed by Corsi (2009) and the Mixed Data Sampling (MIDAS-RV), developed by Ghysels et al. (2004). Through statistical comparison of forecasts in-sample and out-of-sample, it was found that superior results of the MIDAS-RV modeloccurred only for the in-sample forecasting. However, for out-of-sample forecasts no statistically different results were found between the models. Also, there are evidences that the use of realized volatility inducesnormality in standardized returns.
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:31:y:2011:i:2:a:4056
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