Recursive Estimation of Volatility for High Frequency Financial Data
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10434508" target="_blank" >RIV/00216208:11320/21:10434508 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Dz_GBttyOH" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Dz_GBttyOH</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Recursive Estimation of Volatility for High Frequency Financial Data
Original language description
The paper deals with recursive estimation of financial time series with conditional volatility. It surveys the recursive methodology suggested in Hendrych and Cipra (2018) and adjusts it for various alternatives of GARCH models which are usual in financial practice. Such a recursive approach seems to be suitable for the dynamic estimation with high-frequency data. The paper verifies the applicability of recursive algorithms of particular models to high-frequency data from the Czech environment, particularly in the context of risk prediction.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Statistika: Statistics and Economy Journal
ISSN
0322-788X
e-ISSN
1804-8765
Volume of the periodical
101
Issue of the periodical within the volume
3
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
16
Pages from-to
296-311
UT code for WoS article
000697713500005
EID of the result in the Scopus database
2-s2.0-85119524653