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Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

François-Éric Racicot (), Raymond Théoret () and Alain Coen ()
Additional contact information
Raymond Théoret: Département de stratégie des affaires, Université du Québec (Montréal)
Alain Coen: Département de stratégie des affaires, Université du Québec (Montréal)

No UQO-DSA-wp152006, RePAd Working Paper Series from Département des sciences administratives, UQO

Abstract: A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced data. We also compare the out sample performances of ACD GARCH models with the realized volatility method. We propose a procedure to take into account the time deformation and show how to use these models for computing daily VaR.

Keywords: Realized volatility; Ultra High Frequency GARCH; time deformation; financial markets; Daily VaR. (search for similar items in EconPapers)
JEL-codes: C22 C53 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-ecm, nep-ets, nep-fin, nep-fmk, nep-for, nep-mst and nep-rmg
Date: 2006-07-06
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Journal Article: Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models (2008) Downloads
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