On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model

Journal of Forecasting - Tập 36 Số 2 - Trang 181-206 - 2017
František Čech1,2, Jozef Baruník1,2
1Charles University, Institute of Economic Studies, Prague, Czech Republic
2The Czech Academy of Sciences, Institute of Information Theory and Automation, Prague, Czech Republic

Tóm tắt

Recent multivariate extensions of the popular heterogeneous autoregressive model (HAR) for realized volatility leave substantial information unmodelled in residuals. We propose to employ a system of seemingly unrelated regressions to model and forecast a realized covariance matrix to capture this information. We find that the newly proposed generalized heterogeneous autoregressive (GHAR) model outperforms competing approaches in terms of economic gains, providing better mean–variance trade‐off, while, in terms of statistical precision, GHAR is not substantially dominated by any other model. Our results provide a comprehensive comparison of the performance when realized covariance, subsampled realized covariance and multivariate realized kernel estimators are used. We study the contribution of the estimators across different sampling frequencies, and show that the multivariate realized kernel and subsampled realized covariance estimators deliver further gains compared to realized covariance estimated on a 5‐minute frequency. In order to show economic and statistical gains, a portfolio of various sizes is used. Copyright © 2016 John Wiley & Sons, Ltd.

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Thông tin
Thông tin xuất bản

Journal of Forecasting

Tập 36 Số 2

181-206

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