Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7352154 | Finance Research Letters | 2018 | 8 Pages |
Abstract
In this paper, the TTSRV (truncated two-scale realized volatility estimator), a novel estimator of the continuous part of realized volatility (RV), is used to forecast the RV of the SSEC index. Based on the classic heterogeneous autoregressive model for RV (HAR-RV), our new model, which applies the TTSRV, can describe the continuous and jump processes of RV with higher accuracy. The empirical results obtained by this study suggest that the TTSRV outperforms previous models in both statistical and economic aspects.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ping Yuan, Li Rui,