Essays On Realised Volatility Forecasting For International Stock Markets

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Essays On Realised Volatility Forecasting For International Stock Markets

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Author : Yi Ding
language : en
Publisher:
Release Date : 2021

Essays On Realised Volatility Forecasting For International Stock Markets written by Yi Ding and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.

Essays On The Economic Relevance Of Volatility Spillovers

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Author : Katja Ida Maria Gisler
language : en
Publisher:
Release Date : 2016

Essays On The Economic Relevance Of Volatility Spillovers written by Katja Ida Maria Gisler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

The first chapter focuses on the relevance of covariances in the transmission mechanism of variance spillovers across the US stock, US bond and gold markets. For that purpose, we perform a comparative spillover analysis between a model that considers covariances and a model that considers only variances. Our results emphasise the importance of covariances in the transmission mechanism. Including covariances leads to an overall increase of the spillover level and detects the beginnings of the financial crisis and of the US debt-ceiling crisis earlier than the spillover measure that considers only variances. The second chapter evaluates the role of the United States as a source of important spillover information in forecasting realised volatility for a large cross-section of international equity markets. For this purpose, we extend the heterogeneous autoregressive (HAR) model of realised volatility of Corsi (2009) by including US equity volatility information. More precisely, we augment the standard HAR model by US realised volatility and VIX HAR components, and compare it to the original HAR model across 17 international equity markets. Our in-sample and out-of-sample findings show that the US equity market volatility information is statistically significant and sizeable economically across all equity markets that we consider. The last chapter introduces a new system-wide network-based risk factor into the empirical asset pricing literature and examines its pricing ability for carry trade returns in currency markets. I find that system-wide volatility connectedness risk carries a significant and negative risk premium. That is, I show that low interest rate currencies are positively related to system-wide volatility connectedness risk, while high interest rate currencies display a negative correlation. Low interest rate currencies thus serve as a hedge during unexpectedly high system-wide volatility connectedness episodes, typical.

Empirical Studies On Volatility In International Stock Markets

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Author : Eugenie M.J.H. Hol
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09

Empirical Studies On Volatility In International Stock Markets written by Eugenie M.J.H. Hol and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Business & Economics categories.

Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

Essays On Volatility Forecasting

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Author : Dimos S. Kambouroudis
language : en
Publisher:
Release Date : 2012

Essays On Volatility Forecasting written by Dimos S. Kambouroudis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Accounting and price fluctuations categories.

Stock market volatility has been an important subject in the finance literature for which now an enormous body of research exists. Volatility modelling and forecasting have been in the epicentre of this line of research and although more than a few models have been proposed and key parameters on improving volatility forecasts have been considered, finance research has still to reach a consensus on this topic. This thesis enters the ongoing debate by carrying out empirical investigations by comparing models from the current pool of models as well as exploring and proposing the use of further key parameters in improving the accuracy of volatility modelling and forecasting. The importance of accurately forecasting volatility is paramount for the functioning of the economy and everyone involved in finance activities. For governments, the banking system, institutional and individual investors, researchers and academics, knowledge, understanding and the ability to forecast and proxy volatility accurately is a determining factor for making sound economic decisions. Four are the main contributions of this thesis. First, the findings of a volatility forecasting model comparison reveal that the GARCH genre of models are superior compared to the more 'simple' models and models preferred by practitioners. Second, with the use of backward recursion forecasts we identify the appropriate in-sample length for producing accurate volatility forecasts, a parameter considered for the first time in the finance literature. Third, further model comparisons are conducted within a Value-at-Risk setting between the RiskMetrics model preferred by practitioners, and the more complex GARCH type models, arriving to the conclusion that GARCH type models are dominant. Finally, two further parameters, the Volatility Index (VIX) and Trading Volume, are considered and their contribution is assessed in the modelling and forecasting process of a selection of GARCH type models. We discover that although accuracy is improved upon, GARCH type forecasts are still superior.

Essays On Volatility In International Stock Markets

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Author : Eugenie M.J.H. Hol
language : en
Publisher:
Release Date : 2002

Essays On Volatility In International Stock Markets written by Eugenie M.J.H. Hol and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.

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Author :
language : en
Publisher:
Release Date : 1976

written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with categories.

Essays On Financial Econometrics

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Author : Juri Marcucci
language : en
Publisher:
Release Date : 2005

Essays On Financial Econometrics written by Juri Marcucci and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Dow Jones industrial average categories.

This dissertation contains three self-contained chapters dealing with volatility modeling and forecasting. In the first chapter we compare a set of standard GARCH models with a group of Markov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecast the US stock market volatility at horizons that range from one day to one month. The empirical analysis demonstrates that MRS-GARCH models do really outperform all standard GARCH models in forecasting volatility at horizons shorter than one week. In particular, all tests reject the presence of a better model than the MRS-GARCH with normal innovations. However, at forecast horizons longer than one week, standard asymmetric GARCH models tend to be superior. In chapter 2 a new model to analyze the comovements in the volatilities of a portfolio is proposed. The Pure Variance Common Features model is a factor model for the conditional variances of a portfolio of assets, designed to isolate a small number of variance features that drive all assets' volatilities. It decomposes the conditional variance into a short-run idiosyncratic component (a low-order ARCH process) and a long-run component (the variance factors). An empirical example provides evidence that models with very few variance features perform well in capturing the long-run common volatilities of the equity components of the Dow Jones. In the third and last chapter we compare standard univariate models and multivariate factor models in terms of their ability to forecast the realized variances of a group of major international stock exchanges. Our results show that those models adopting equally weighted regional factors outperform all the others. In addition, models that use factors obtained from canonical correlation analysis tend to outperform all the others that employ different multivariate techniques, therefore confirming their predicting power.

Volatility And Time Series Econometrics

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Author : Mark Watson
language : en
Publisher: Oxford University Press
Release Date : 2010-02-11

Volatility And Time Series Econometrics written by Mark Watson and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-11 with Business & Economics categories.

A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics

Essays On Return And Volatility On World Stock Markets

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Author : Jia Liu
language : en
Publisher:
Release Date : 2013

Essays On Return And Volatility On World Stock Markets written by Jia Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

Essays On Financial Volatility Forecasting

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Author : Katina Tsakou
language : en
Publisher:
Release Date : 2016

Essays On Financial Volatility Forecasting written by Katina Tsakou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.