Arbeitspapier
Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of squared high frequency returns within a day). First we consider unobserved components and long memory models for realised volatility which is regarded as an accurate estimator of volatility. The predictive abilities of realised volatility models are compared with those of stochastic volatility models and generalised autoregressive conditional heteroskedasticity models for daily return series. These historical volatility models are extended to include realised and implied volatility measures as explanatory variables for volatility. The main focus is on forecasting the daily variability of the Standard & Poor's 100 stock index series for which trading data (tick by tick) of almost seven years is analysed. The forecast assessment is based on the hypothesis of whether a forecast model is outperformed by alternative models. In particular, we will use superior predictive ability tests to investigate the relative forecast performances of some models. Since volatilities are not observed, realised volatility is taken as a proxy for actual volatility and is used for computing the forecast error. A stationary bootstrap procedure is required for computing the test statistic and its $p$-value. The empirical results show convincingly that realised volatility models produce far more accurate volatility forecasts compared to models based on daily returns. Long memory models seem to provide the most accurate forecasts.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 04-016/4
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
International Financial Markets
- Thema
-
Generalised autoregressive conditional heteroskedasticity model
Long memory model
Realised volatility
Stochastic volatility model
Superior predictive ability
Unobserved components
Aktienindex
Prognoseverfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Koopman, Siem Jan
Jungbacker, Borus
Hol, Eugenie
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Koopman, Siem Jan
- Jungbacker, Borus
- Hol, Eugenie
- Tinbergen Institute
Entstanden
- 2004
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