کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
997703 | 1481465 | 2009 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements](/preview/png/997703.png)
چکیده انگلیسی
We evaluate the forecasting performance of time series models for realized volatility, which accommodate long memory, level shifts, leverage effects, day-of-the-week and holiday effects, as well as macroeconomic news announcements. Applying the models to daily realized volatility for the S&P 500 futures index, we find that explicitly accounting for these stylized facts of volatility improves out-of-sample forecast accuracy for horizons up to 20 days ahead. Capturing the long memory feature of realized volatility by means of a flexible high-order AR-approximation instead of a parsimonious but stringent fractionally integrated specification also leads to improvements in forecast accuracy, especially for longer horizon forecasts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 25, Issue 2, April–June 2009, Pages 282–303
Journal: International Journal of Forecasting - Volume 25, Issue 2, April–June 2009, Pages 282–303
نویسندگان
Martin Martens, Dick van Dijk, Michiel de Pooter,