HETEROGENEOUS AUTOREGRESSIVE MODEL OF THE REALIZED VOLATILITY: EVIDENCE FROM CZECH STOCK MARKET

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86082800" target="_blank" >RIV/61989100:27510/12:86082800 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
HETEROGENEOUS AUTOREGRESSIVE MODEL OF THE REALIZED VOLATILITY: EVIDENCE FROM CZECH STOCK MARKET
Original language description
This paper deals with a conditional volatility GARCH model and model based on realized volatility which is able to account for the main empirical features observed in data in financial markets. Inspired by well-known Heterogeneous Market Hypothesis and by the asymmetric behavior of volatility between long and short time horizons, we used an additive cascade of different volatility components generated by the actions of different types of market participants. This additive volatility cascade leads to a simple AR-type model in the realized volatility with the feature of considering volatilities realized over different time horizons. HAR-RV model successfully achieves the purpose of reproducing the main empirical features of volatility like long memory, fat tails, and self-similarity in a very simple and parsimoniously way. The aim of this paper is to compare estimates got by simple AR(1)-GARCH(1, 1) model and HAR-RV model using data from the Czech stock market represented by PX index. In
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Advances in Finance and Accounting : proceedings of the 1st WSEAS International Conference on Finance, Accounting and Auditing (FAA '12) : Tomas Bata University in Zlin, Czech Republic, September 20-22, 2012
ISBN
978-1-61804-124-1
ISSN
2227-460X
e-ISSN
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Number of pages
6
Pages from-to
32-37
Publisher name
WSEAS Press
Place of publication
[Česko]
Event location
Zlín
Event date
Sep 20, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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