This paper introduces a new model for detecting the presence of commonalities in a set of realized volatility measures. In particular, we propose a multivariate generalization of the heterogeneous autoregressive model (HAR) that is endowed with a common index structure. The vector heterogeneous autoregressive index model has the property of generating a common index that preserves the same temporal cascade structure as in the HAR model, a feature that is not shared by other aggregation methods (e.g., principal components). The parameters of this model can be estimated easily by a proper switching algorithm that increases the Gaussian likelihood at each step. We illustrate our approach using an empirical analysis that aims to combine several realized volatility measures of the same equity index for three different markets

Cubadda, G., Guardabascio, B., Hecq, A. (2017). A vector heterogeneous autoregressive index model for realized volatility measures. INTERNATIONAL JOURNAL OF FORECASTING, 33(2), 337-344 [10.1016/j.ijforecast.2016.09.002].

A vector heterogeneous autoregressive index model for realized volatility measures

CUBADDA, GIANLUCA
;
2017-01-10

Abstract

This paper introduces a new model for detecting the presence of commonalities in a set of realized volatility measures. In particular, we propose a multivariate generalization of the heterogeneous autoregressive model (HAR) that is endowed with a common index structure. The vector heterogeneous autoregressive index model has the property of generating a common index that preserves the same temporal cascade structure as in the HAR model, a feature that is not shared by other aggregation methods (e.g., principal components). The parameters of this model can be estimated easily by a proper switching algorithm that increases the Gaussian likelihood at each step. We illustrate our approach using an empirical analysis that aims to combine several realized volatility measures of the same equity index for three different markets
10-gen-2017
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-S/03 - STATISTICA ECONOMICA
English
Con Impact Factor ISI
Combinations of realized volatilities; Common volatility; Forecasting; HAR models; Index models
http://www.sciencedirect.com/science/article/pii/S0169207016301005
Cubadda, G., Guardabascio, B., Hecq, A. (2017). A vector heterogeneous autoregressive index model for realized volatility measures. INTERNATIONAL JOURNAL OF FORECASTING, 33(2), 337-344 [10.1016/j.ijforecast.2016.09.002].
Cubadda, G; Guardabascio, B; Hecq, A
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/175470
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