Comparative Studies on the GARCH Models Volatility Forecasting Performance Using Scaled Realized Vol

来源 :中国数量经济学会 | 被引量 : 0次 | 上传用户：xiaotao_8730

【摘要】

：

【作者】

：

NISHIMURA Yusaku

【机构】

：

University of International Business and Economics

【出处】

：

中国数量经济学会

【发表日期】

：

2009年12期

【关键词】

：

Stock market Realized Volatility High-frequency data

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　　This paper mainly focuses on the realized volatility,which is a new volatility measuring method based on high-frequency time series data,in the Chinas stock market.Realized volatility has recently attracted the attention of econometricians and financial economists as an accurate measure of the true volatility.In this paper,Shanghai Composite Index 5-minute data are chosen as the research sample.Modeling daily returns and four kinds of scaled realized volatility simultaneously based on well-known GARCH model is proposed.

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Comparative Studies on the GARCH Models Volatility Forecasting Performance Using Scaled Realized Vol

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