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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

32-37

Název nakladatele

WSEAS Press

Místo vydání

[Česko]

Místo konání akce

Zlín

Datum konání akce

20. 9. 2012

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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