Modeling and Forecasting of Return Volatility Using GARCH and HAR-RV Models: Case of US Stock Market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086787" target="_blank" >RIV/61989100:27510/13:86086787 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Modeling and Forecasting of Return Volatility Using GARCH and HAR-RV Models: Case of US Stock Market
Original language description
This paper is focused on GARCH type and heterogeneous autoregressive models of realized volatility on high-frequency data of equity indices. The aim of this paper is to compare volatility estimated by simple AR(1)-GARCH(1,1) model and HAR-RV family models using data from U.S. stock market represented by NASDAQ index in the period of 2004-2012 years. With a help of HAR-RV models we estimated the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assessed their role in predicting the daily conditional volatility and realized volatility. Results of the estimation and in-sample forecast of the NASDAQ index volatility show remarkably good in-sample forecasting performance of HAR-RV family models which significantly and steadily outperforms standard AR(1) GARCH(1,1) model.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 10th International Conference on Strategic Management and its Support by Information Systems 2013 : 29th - 30th August, Valašské Meziříčí, Czech Republic
ISBN
978-80-248-3096-4
ISSN
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e-ISSN
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Number of pages
13
Pages from-to
206-218
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Valašské Meziříčí
Event date
Aug 29, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000324842000020