• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to project page

2010 Fiscal Year Final Research Report

On Evaluating Forecasts of Models for Realized Volatility

Research Project

  • PDF
Project/Area Number 21730177
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Economic statistics
Research InstitutionSoka University

Principal Investigator

ASAI Manabu  Soka University, 経済学部, 教授 (90319484)

Project Period (FY) 2009 – 2010
Keywords実現ボラティリティ / 予測
Research Abstract

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and other measurement errors. Such noise is called "realized volatility error". As such errors are ignored, we need to take account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV errors on estimating and forecasting IV with RV data. It is found that : (i) neglecting RV errors can lead to serious bias in estimators ; (ii) the effects of RV errors on one-step ahead forecasts are minor when consistent estimators are used and when the number of intraday observations is large ; and (iii) even the partially corrected R^2 recently proposed in the literature should be fully corrected for evaluating forecasts. This paper proposes a full correction of R^2. An empirical example for S&P 500 data is used to demonstrate the techniques developed in the paper.

  • Research Products

    (4 results)

All 2010 Other

All Presentation (2 results) Remarks (2 results)

  • [Presentation] Stochastic Covariance Models2010

    • Author(s)
      Manabu Asai
    • Organizer
      International Conference on Computational and Financial Econometrics 2010
    • Place of Presentation
      London, UK.
    • Year and Date
      20101200
  • [Presentation] The Structure of Conditional, Stochastic and Realized Covariance Matrices2010

    • Author(s)
      Manabu Asai
    • Organizer
      International Workshop on Bayesian Econometrics and Statistics
    • Place of Presentation
      Tokyo.
    • Year and Date
      20100200
  • [Remarks] ホームページ等

  • [Remarks] 研究成果データベース Social Science Research Networkにて公開。論文タイトルは、"Modelling and Forecasting Noisy Realized Volatility"であり、URLは である。

    • URL

      http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1476044

URL: 

Published: 2012-02-13   Modified: 2016-04-21  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi