Forecasting the Volatility of Nikkei 225 Futures

Manabu Asai and Michael McAleer

Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset. Empirical results for Nikkei 225 futures indicate that the adjusted R2 supports the appropriateness of the indirect method, and that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting model based on the direct method using the pseudo long time series.

Keywords: Forecasting; Volatility; Futures; Realized Volatility; Realized Kernel; Leverage Effects; Long Memory (search for similar items in EconPapers)
JEL-codes: C22 C53 C58 G17 (search for similar items in EconPapers)
Pages: 28
Date: 2017-01-15
New Economics Papers: this item is included in nep-ets, nep-fmk, nep-for and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://repub.eur.nl/pub/99517/EI2017-06.pdf (application/pdf)

Related works:
Journal Article: Forecasting the volatility of Nikkei 225 futures (2017)
Working Paper: Forecasting the Volatility of Nikkei 225 Futures (2017)
Working Paper: Forecasting the volatility of Nikkei 225 futures (2017)
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:ems:eureir:99517

Access Statistics for this paper

More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ( this e-mail address is bad, please contact ).