EconPapers    
Economics at your fingertips  
 

A Mixture Multiplicative Error Model for Realized Volatility

Markku Lanne

No ECO2006/3, Economics Working Papers from European University Institute

Abstract: 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 ARFIMA 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) for the same data.

Keywords: Mixture model; Realized volatility; Gamma distribution (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 G15 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin, nep-fmk and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37) Track citations by RSS feed

Downloads: (external link)
http://cadmus.iue.it/dspace/bitstream/1814/4157/1/ECO2006-3.pdf main text
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: A Mixture Multiplicative Error Model for Realized Volatility (2006) Downloads
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:eui:euiwps:eco2006/3

Access Statistics for this paper

More papers in Economics Working Papers from European University Institute Badia Fiesolana, Via dei Roccettini, 9, 50014 San Domenico di Fiesole (FI) Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Cécile Brière ().

 
Page updated 2022-09-26
Handle: RePEc:eui:euiwps:eco2006/3