Arbeitspapier
Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which encompasses a new RSV model with seasonal long memory (SLM). The RSV model uses the information from returns and realized volatility measures simultaneously. The long memory structure of both models can describe unbounded peaks apart from the origin in the power spectrum. For estimating the RSV-GGLM model, we suggest estimating the location parameters for the peaks of the power spectrum in the first step, and the remaining parameters based on the Whittle likelihood in the second step. We conduct Monte Carlo experiments for investigating the finite sample properties of the estimators, with a quasi-likelihood ratio test of RSV-SLM model against the RSV-GGLM model. We apply the RSV-GGLM and RSV-SLM model to three stock market indices. The estimation and forecasting results indicate the adequacy of considering general long memory.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 17-105/III
- Klassifikation
-
Wirtschaft
Methodological Issues: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Financial Econometrics
- Thema
-
Stochastic Volatility
Realized Volatility Measure
Long Memory
Gegenbauer Polynomial
Seasonality
Whittle Likelihood
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Asai, Manabu
McAleer, Michael
Peiris, Shelton
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2017
- 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
- Asai, Manabu
- McAleer, Michael
- Peiris, Shelton
- Tinbergen Institute
Entstanden
- 2017
Ähnliche Objekte (12)
Realized volatility: a review
Realized Volatility Risk
Realized Stochastic Volatility with General Asymmetry and Long Memory
Asymmetric realized volatility risk
Asymmetric Realized Volatility Risk
Forecasting Realized Volatility with Linear and Nonlinear Models
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Estimating and forecasting generalized fractional long memory stochastic volatility models
A Fractionally Integrated Wishart Stochastic Volatility Model
Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
Realized volatility: a review
Realized Volatility Risk
Realized Stochastic Volatility with General Asymmetry and Long Memory
Asymmetric realized volatility risk
Asymmetric Realized Volatility Risk
Forecasting Realized Volatility with Linear and Nonlinear Models
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Estimating and forecasting generalized fractional long memory stochastic volatility models
A Fractionally Integrated Wishart Stochastic Volatility Model
Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
Realized volatility: a review
Realized Volatility Risk
Realized Stochastic Volatility with General Asymmetry and Long Memory
Asymmetric realized volatility risk
Asymmetric Realized Volatility Risk
Forecasting Realized Volatility with Linear and Nonlinear Models
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Estimating and forecasting generalized fractional long memory stochastic volatility models
A Fractionally Integrated Wishart Stochastic Volatility Model
Asymmetry and leverage in conditional volatility models