Structural Breaks in Realized Volatility: A Cautionary Tale

2019 ◽  
Author(s):  
Simon Behrendt
Keyword(s):  
Structural Breaks ◽  
Realized Volatility ◽  
Cautionary Tale

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 Are There Structural Breaks in Realized Volatility?

2008 ◽  
Vol 6 (3) ◽  
pp. 326-360 ◽  
Author(s):  
C. Liu ◽  
J. M. Maheu
Keyword(s):  
Structural Breaks ◽  
Realized Volatility

scholarly journals On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks

2020 ◽  
Vol 89 ◽  
pp. 104781 ◽  
Author(s):  
Jiawen Luo ◽  
Qiang Ji ◽  
Tony Klein ◽  
Neda Todorova ◽  
Dayong Zhang
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Structural Breaks ◽  
Realized Volatility ◽  
Oil Futures ◽  
Crude Oil Futures

Police Work Addiction: A Cautionary Tale.

2003 ◽  
Author(s):  
Gerard J. Solan ◽  
Jean M. Casey
Keyword(s):  
Police Work ◽  
Cautionary Tale ◽  
Work Addiction
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