A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility
Tóm tắt
To forecast realized volatility, this paper introduces a multiplicative error model that incorporates heterogeneous components: weekly and monthly realized volatility measures. While the model captures the long‐memory property, estimation simply proceeds using quasi‐maximum likelihood estimation. This paper investigates its forecasting ability using the realized kernels of 34 different assets provided by the Oxford‐Man Institute's Realized Library. The model outperforms benchmark models such as ARFIMA, HAR, Log‐HAR and HEAVY‐RM in within‐sample fitting and out‐of‐sample (1‐, 10‐ and 22‐step) forecasts. It performed best in both pointwise and cumulative comparisons of multi‐step‐ahead forecasts, regardless of loss function (QLIKE or MSE). Copyright © 2015 John Wiley & Sons, Ltd.
Từ khóa
Tài liệu tham khảo
Andersen TG, 2009, Handbook of Financial Econometrics, 67
Brownlees CT, 2011, Handbook of Volatility Models and their Applications, 281
Diebold FX, Comparing predictive accuracy, Journal of Business and Economic Statistics, 13, 253, 10.1080/07350015.1995.10524599
Doornik JA andMOoms.A package for estimating forecasting and simulating Arfima models: Arfima package 1.0 for Ox Erasmus University 1999.
Heber G, 2009, OMI's Realized Library,