Realized volatility: evidence from Brazil
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/10241 |
Resumo: | 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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Wink Junior, Marcos VinícioPereira, Pedro L. VallsEscolas::EESP2012-11-09T22:03:54Z2012-11-09T22:03:54Z2012-11-09TD 320http://hdl.handle.net/10438/10241Using 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. 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dc.title.eng.fl_str_mv |
Realized volatility: evidence from Brazil |
title |
Realized volatility: evidence from Brazil |
spellingShingle |
Realized volatility: evidence from Brazil Wink Junior, Marcos Vinício Realized volatility HAR MIDAS High frequency Economia Economia |
title_short |
Realized volatility: evidence from Brazil |
title_full |
Realized volatility: evidence from Brazil |
title_fullStr |
Realized volatility: evidence from Brazil |
title_full_unstemmed |
Realized volatility: evidence from Brazil |
title_sort |
Realized volatility: evidence from Brazil |
author |
Wink Junior, Marcos Vinício |
author_facet |
Wink Junior, Marcos Vinício Pereira, Pedro L. Valls |
author_role |
author |
author2 |
Pereira, Pedro L. Valls |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Wink Junior, Marcos Vinício Pereira, Pedro L. Valls |
dc.subject.por.fl_str_mv |
Realized volatility HAR MIDAS High frequency |
topic |
Realized volatility HAR MIDAS High frequency Economia Economia |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia |
description |
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 |
publishDate |
2012 |
dc.date.accessioned.fl_str_mv |
2012-11-09T22:03:54Z |
dc.date.available.fl_str_mv |
2012-11-09T22:03:54Z |
dc.date.issued.fl_str_mv |
2012-11-09 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/10241 |
dc.identifier.sici.none.fl_str_mv |
TD 320 |
identifier_str_mv |
TD 320 |
url |
http://hdl.handle.net/10438/10241 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Textos para discussão EESP;TD 320 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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