Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect

2014 ◽  
Vol 14 (3) ◽  
pp. 345-392 ◽  
Author(s):  
Ke Yang ◽  
Langnan Chen
Keyword(s):  
Long Memory ◽  
Structural Breaks ◽  
Realized Volatility ◽  
Day Of The Week ◽  
Volatility Forecast

Structural breaks in unbiased volatility estimator: Modeling and forecasting

2017 ◽  
Vol 11 (1) ◽  
pp. 27-50 ◽  
Author(s):  
Dilip Kumar
Keyword(s):  
Long Memory ◽  
Structural Breaks ◽  
Realized Volatility ◽  
Extreme Value ◽  
Trading Strategy ◽  
Risk Averse ◽  
Memory Property ◽  
Economic Significance ◽  
Forecasting Performance ◽  
Modeling And Forecasting

The study provides a framework to model the unbiased extreme value volatility estimator (The AddRS estimator) in presence of structural breaks. We observe that the structural breaks in the volatility based on the AddRS estimator can partly explain its long memory property. We evaluate the forecasting performance of the proposed framework and compare the results with the corresponding results of the models from the GARCH family. The forecasts evaluation exercises consider the cases when future breaks are known as well as unknown. Our findings indicate that the proposed framework outperform the sophisticated GARCH class of models in forecasting realized volatility. Moreover, we devise a trading strategy based on the forecasts of the variance to highlight the economic significance of the proposed framework. We find that a risk averse investor can make substantial gain using the volatility forecasts based on the proposed frameworks in comparison to the GARCH family of models.

Realized Volatility Forecast of Stock Index Under Structural Breaks

2014 ◽  
Vol 34 (1) ◽  
pp. 57-82 ◽  
Author(s):  
Ke Yang ◽  
Langnan Chen ◽  
Fengping Tian
Keyword(s):  
Structural Breaks ◽  
Realized Volatility ◽  
Stock Index ◽  
Volatility Forecast

scholarly journals Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

2018 ◽  
Vol 24 (1) ◽  
pp. 412-426 ◽  
Author(s):  
Elie Bouri ◽  
Luis A. Gil-Alana ◽  
Rangan Gupta ◽  
David Roubaud
Keyword(s):  
Long Memory ◽  
Structural Breaks
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