2012 Fiscal Year Final Research Report
Time-series analysis using high-frequency data and an application to risk management 研究代表者
| Project/Area Number |
23730301
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Kushiro Public University of Economics |
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Principal Investigator |
UBUKATA Masato 釧路公立大学, 経済学部, 准教授 (00467507)
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| Project Period (FY) |
2011 – 2012
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| Keywords | 高頻度データ / 実現ボラティリティ / オプション / ボラティリティリスクプレミアム / インプライドボラティリティ |
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| Research Abstract |
This study examines option pricing performance using different realized volatilities calculated from high-frequency data on the Japanese stock market. We findthat realized volatilities taking into account microstructure noise and non-trading hours are useful for option pricing. Further, we evaluate predictive performance of variance risk premium in Japan. The variance risk premium based on realizedvolatility using high-frequency data can reasonably forecast credit spreads in Japan’s corporate bond market relative to the variance risk premium using daily data.
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