| Budget Amount *help |
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2013: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
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| Outline of Final Research Achievements |
This study empirically demonstrates that the continuous-time GARCH-type stochastic volatility model fits de-seasonalized high-frequency intraday observations of the S&P 500 and Nikkei 225 stock indices better than the Heston-type model. However, specification tests reject both models. In light of these empirical results, this study proposes a functional HAR model for predicting future spot volatility paths, which is a functional version of the HAR model for the realized volatility. This new model treats the dynamic movements of the time-varying seasonal components and the spot volatility in an integrated way, and is found to perform better than the existing approaches in terms of predictive accuracy.
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