Realized volatility: evidence from Brazil

Marcos Vinicio Wink and Pedro Valls Pereira

No 320, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: Using intraday data for the most actively traded stocks on the São Paulo Stock Market (BOVESPA) index, this study considers two recently developed models from the literature on the estimation and prediction of realized volatility: the Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV), developed by Corsi (2009), and the Mixed Data Sampling model (MIDAS-RV), developed by Ghysels et al. (2004). Using measurements to compare in-sample and out-of-sample forecasts, better results were obtained with the MIDAS-RV model for in-sample forecasts. For out-of-sample forecasts, however, there was no statistically signi cant di¤erence between the models. We also found evidence that the use of realized volatility induces distributions of standardized returns that are closer to normal

Date: 2012-11-09
New Economics Papers: this item is included in nep-for
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://repositorio.fgv.br/bitstreams/b156377e-fc7 ... fc1b4725863/download (application/pdf)

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:fgv:eesptd:320

Access Statistics for this paper

More papers in Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().