Forecasting the realized volatility of stock price index: A hybrid model integrating CEEMDAN and LSTM
Y Lin, Z Lin, Y Liao, Y Li, J Xu, Y Yan - Expert Systems with Applications, 2022 - Elsevier
The realized volatility (RV) financial time series is non-linear, volatile, and noisy. It is not
easy to accurately forecast RV with a single forecasting model. This paper adopts a hybrid …
easy to accurately forecast RV with a single forecasting model. This paper adopts a hybrid …
Realized GARCH: a joint model for returns and realized measures of volatility
We introduce a new framework, Realized GARCH, for the joint modeling of returns and
realized measures of volatility. A key feature is a measurement equation that relates the …
realized measures of volatility. A key feature is a measurement equation that relates the …
Exponential GARCH modeling with realized measures of volatility
We introduce the realized exponential GARCH model that can use multiple realized volatility
measures for the modeling of a return series. The model specifies the dynamic properties of …
measures for the modeling of a return series. The model specifies the dynamic properties of …
Volatility and dynamic dependence modeling: Review, applications, and financial risk management
Since the introduction of ARCH models close to 40 years ago, a wide range of models for
volatility estimation and prediction have been developed and integrated into asset …
volatility estimation and prediction have been developed and integrated into asset …
On long memory effects in the volatility measure of cryptocurrencies
Cryptocurrencies as of late have commanded global attention on a number of fronts. Most
notably, their variance properties are known for being notoriously wild, unlike their fiat …
notably, their variance properties are known for being notoriously wild, unlike their fiat …
[HTML][HTML] Market momentum amplifies market volatility risk: Evidence from China's equity market
C Liang, LDT Huynh, Y Li - Journal of International Financial Markets …, 2023 - Elsevier
We examine the role of a belief-based momentum indicator, measured by conditional past
returns (CPR), in the realized volatility (RV) predictability of equity markets. Based on the …
returns (CPR), in the realized volatility (RV) predictability of equity markets. Based on the …
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution
J Nakajima, Y Omori - Computational Statistics & Data Analysis, 2012 - Elsevier
A Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (GH) skew
Student's t-error distribution is described where we first consider an asymmetric heavy-tailed …
Student's t-error distribution is described where we first consider an asymmetric heavy-tailed …
[HTML][HTML] The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures
China launched its domestic crude oil futures market in 2018 and this nascent market is
steadily developing. Studying volatility predictability for Chinese crude oil futures has …
steadily developing. Studying volatility predictability for Chinese crude oil futures has …
The analysis of stochastic volatility in the presence of daily realized measures
SJ Koopman, M Scharth - Journal of Financial Econometrics, 2012 - academic.oup.com
We develop a systematic framework for the joint modeling of returns and multiple daily
realized measures. We assume a linear state space representation for the log realized …
realized measures. We assume a linear state space representation for the log realized …
Quantile forecasts of financial returns using realized GARCH models
T Watanabe - The Japanese Economic Review, 2012 - Springer
This article applies the realized generalized autoregressive conditional heteroskedasticity
(GARCH) model, which incorporates the GARCH model with realized volatility, to quantile …
(GARCH) model, which incorporates the GARCH model with realized volatility, to quantile …