Modeling and Forecasting Unbiased Extreme Value Volatility Estimator in Presence of Leverage Effect

Dilip Kumar

Journal of Quantitative Economics, 2018, vol. 16, issue 2, No 1, 313-335

Abstract: Abstract This study proposes the frameworks (A-HAR-AddRS and HAR-AddRS-AGARCH) to account for leverage effect in modeling and forecasting the AddRS estimator (Kumar and Maheswaran, Econ Model 38:33–44, 2014b) based on heterogeneous autoregressive (HAR) model. We evaluate the forecasting performance of the A-HAR-AddRS and HAR-AddRS-AGARCH models using the error statistic approach, the superior predictive ability (SPA) approach and the model confidence set (MCS) approach and compare the results with the corresponding results from the return based asymmetric and regime switching volatility models. To illustrate it, we use the same indices as used by Kumar and Maheswaran (Int Rev Financ Anal 34:166–176, 2014a, Econ Model 38:33–44, 2014b), that is, S&P 500, CAC 40, IBOVESPA and S&P CNX Nifty. Our findings indicate that the A-HAR-AddRS and HAR-AddRS-AGARCH models provide more accurate forecasts of realized volatility than the returns based asymmetric and regime switching volatility models.

Keywords: Volatility modeling; Leverage effect; Volatility forecasting; Forecast evaluation; Bias corrected extreme value estimator (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 G10 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s40953-017-0085-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0085-4

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40953

DOI: 10.1007/s40953-017-0085-4

Access Statistics for this article

Journal of Quantitative Economics is currently edited by Dilip Nachane and P.G. Babu

More articles in Journal of Quantitative Economics from Springer, The Indian Econometric Society (TIES) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().