Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility

Dimitrios Louzis, Spyros Xanthopoulos-Sisinis () and Apostolos Refenes ()
Additional contact information
Spyros Xanthopoulos-Sisinis: Management Science and Technology - AUEB - Athens University of Economics and Business
Apostolos Refenes: Management Science and Technology - AUEB - Athens University of Economics and Business

Post-Print from HAL

Abstract: In this article, we account for the presence of heterogeneous leverage effects and the persistence in the volatility of stock index realized volatility. The Heterogeneous Autoregressive (HAR) realized volatility model is extended in order to account for asymmetric responses to negative and positive shocks occurring at distinct frequencies, as well as, for the long range dependence in the heteroscedastic variance of the residuals. Compared with established HAR and Autoregressive Fractionally Integrated Moving Average (ARFIMA) realized volatility models, the proposed model exhibits superior in-sample fitting, as well as, out-of-sample volatility forecasting performance. The latter is further improved when the realized power variation is used as a regressor, while we show that our analysis is also robust against microstructure noise.

Keywords: Social; Sciences; &; Humanities (search for similar items in EconPapers)
Date: 2011-06-17
Note: View the original document on HAL open archive server: https://hal.science/hal-00709559
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Applied Economics, 2011, pp.1. ⟨10.1080/00036846.2011.577025⟩

Downloads: (external link)
https://hal.science/hal-00709559/document (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:hal:journl:hal-00709559

DOI: 10.1080/00036846.2011.577025

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().