Realized Volatility Forecasting: Robustness to Measurement Errors
Fabrizio Cipollini (),
Giampiero Gallo () and
Edoardo Otranto
Additional contact information
Fabrizio Cipollini: Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università di Firenze, https://www.disia.unifi.it
No 2019_04, Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
Abstract:
In this paper, we reconsider the issue of measurement errors affecting the estimates of a dynamic model for the conditional expectation of realized variance arguing that heteroskedasticity of such errors may be adequately represented with a multiplicative error model. Empirically we show that the significance of quarticity/quadratic terms capturing attenuation bias is very important within an HAR model, but is greatly diminished within an AMEM, and more so when regime specific dynamics account for a faster mean reversion when volatility is high. Model Confidence Sets confirm such robustness both in– and out–of–sample.
Keywords: Realized volatility; Forecasting; Measurement errors; HAR; AMEM; Markov switching; Volatility of volatility (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 C58 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2019-07
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://labdisia.disia.unifi.it/wp_disia/2019/wp_disia_2019_04.pdf First version, 2019-07 (application/pdf)
Related works:
Journal Article: Realized volatility forecasting: Robustness to measurement errors (2021) 
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:fir:econom:wp2019_04
Access Statistics for this paper
More papers in Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Fabrizio Cipollini ().