Do Jumps Matter For Volatility Forecasting Evidence From Energy Markets PDF Download
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Author | : Marcel Prokopczuk |
Publisher | : |
Total Pages | : 81 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets Book in PDF, ePub and Kindle
This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons and loss functions.
Author | : Dexiang Mei |
Publisher | : Scientific Research Publishing, Inc. USA |
Total Pages | : 139 |
Release | : 2020-12-17 |
Genre | : Business & Economics |
ISBN | : 164997048X |
Download Forecasting the Volatility of Stock Market and Oil Futures Market Book in PDF, ePub and Kindle
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Author | : Massimiliano Caporin |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Do Jumps Matter in Realized Volatility Modeling and Forecasting? Empirical Evidence and a New Model Book in PDF, ePub and Kindle
Building on an extensive empirical analysis I investigate the relevance of jumps and signed variations in predicting Realized Volatility. I show that properly accounting for intra-day volatility patterns and staleness sensibly reduces the identified jumps. Realized Variance decompositions based on intra-day return size and sign improve the in-sample fit of the models commonly adopted in empirical studies. I also introduce a novel specification based on a more informative decomposition of Realized Volatility, which offer improvements over standard models. From a forecasting perspective, the empirical evidence I report shows that most models, irrespective of their flexibility, are statistically equivalent in many cases. This result is confirmed with different samples, liquidity levels, forecast horizons and possible transformations of the dependent and explanatory variables.
Author | : Dexiang Mei |
Publisher | : Scientific Research Publishing, Inc. |
Total Pages | : 165 |
Release | : 2020-08-13 |
Genre | : Juvenile Nonfiction |
ISBN | : 1618969811 |
Download Research on the Volatility of Oil Futures and European Stock Markets Book in PDF, ePub and Kindle
The volatility has been one of the cores of the financial theory research, in addition to the futures market is an important part of modern financial markets, the futures market volatility is an important part of the theory of financial markets research.
Author | : Fulvio Corsi |
Publisher | : |
Total Pages | : 42 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Volatility Forecasting Book in PDF, ePub and Kindle
Author | : Antonio Di Crescenzo |
Publisher | : MDPI |
Total Pages | : 284 |
Release | : 2019-11-28 |
Genre | : Mathematics |
ISBN | : 3039217283 |
Download Stochastic Processes with Applications Book in PDF, ePub and Kindle
Stochastic processes have wide relevance in mathematics both for theoretical aspects and for their numerous real-world applications in various domains. They represent a very active research field which is attracting the growing interest of scientists from a range of disciplines. This Special Issue aims to present a collection of current contributions concerning various topics related to stochastic processes and their applications. In particular, the focus here is on applications of stochastic processes as models of dynamic phenomena in research areas certain to be of interest, such as economics, statistical physics, queuing theory, biology, theoretical neurobiology, and reliability theory. Various contributions dealing with theoretical issues on stochastic processes are also included.
Author | : Xin Huang |
Publisher | : |
Total Pages | : 185 |
Release | : 2007 |
Genre | : |
ISBN | : 9781109936216 |
Download Financial Market Volatility and Jumps Book in PDF, ePub and Kindle
JEL classification. C1, C2, C5, C51, C52, F3, F4, G1, G14.
Author | : Daniel Buncic |
Publisher | : |
Total Pages | : 33 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets Book in PDF, ePub and Kindle
We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross-section of 18 international equity markets, using daily realized measures data from the Oxford-Man Realized Library, and two widely employed empirical models for realized volatility that allow for jumps and leverage. Our out-of-sample forecast evaluation results show that the separation of realized volatility into a continuous and a discontinuous (jump) component is important for the S&P 500, but of rather limited value for the remaining 17 international equity markets that we analyse. Only for 6 equity markets are significant and sizable forecast improvements realized at the one-step-ahead horizon, which, nevertheless, deteriorate quickly and abruptly as the prediction horizon increases. The inclusion of the leverage effect, on the other hand, has a much larger impact on all 18 international equity markets. Forecast gains are not only highly significant, but also sizeable, with gains remaining significant for forecast horizons of up to one month ahead.
Author | : Fulvio Corsi |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting Book in PDF, ePub and Kindle
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not only consistent, but also scarcely plagued by small-sample bias. To this purpose, we introduce the concept of threshold bipower variation, which is based on the joint use of bipower variation and threshold estimation. We show that its generalization (threshold multipower variation) admits a feasible central limit theorem in the presence of jumps and provides less biased estimates, with respect to the standard multipower variation, of the continuous quadratic variation in finite samples. We further provide a new test for jump detection which has substantially more power than tests based on multipower variation. Empirical analysis (on the S & P500 index, individual stocks and US bond yields) shows that the proposed techniques improve significantly the accuracy of volatility forecasts especially in periods following the occurrence of a jump. -- Volatility estimation ; jump detection ; volatility forecasting ; threshold estimation ; financial markets
Author | : Ser-Huang Poon |
Publisher | : John Wiley & Sons |
Total Pages | : 236 |
Release | : 2005-08-19 |
Genre | : Business & Economics |
ISBN | : 0470856157 |
Download A Practical Guide to Forecasting Financial Market Volatility Book in PDF, ePub and Kindle
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.