Realized Volatility Forecasting: Applications

Stavros Degiannakis and Christos Floros

Chapter 5 in Modelling and Forecasting High Frequency Financial Data, 2015, pp 161-216 from Palgrave Macmillan

Abstract: Abstract The realized volatility is constructed based on ultra-high frequency data for three stock indices and the euro to yen exchange rate. The sampling frequency is selected according to the volatility signature plot, and the realized volatility is adjusted to changes in the prices during the hours that the markets are closed.

Keywords: Loss Function; Standard Devia; Stock Index; Standardize Prediction Error; Superior Predictive Ability (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-39649-5_5

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DOI: 10.1057/9781137396495_5

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