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)
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
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:320
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