@techreport{Lazarov2004Modeling,
abstract = {The recent introduction of the realized variance measure defined
as the sum of the squared intra-daily returns stamped on some high
frequency basis has spurred the research in the field of volatility mod-
eling and forecasting into new directions. First, the realized variance
is a much better estimate of the latent volatility than the sum of the
weighted daily squared returns. As such it is better suited for com-
paring the out-of-sample performances of competing volatility models.
Additionally, it can enter as a parameter in these models proving bet-
ter information than the daily returns commonly used in the standard
volatility models. These two innovations have been utilized in several
recent papers. We extend this line of research by estimating and com-
paring a wide class of volatility models for the DAX index futures that
use the realized variance or the daily returns. To give a new view of
the question whether time series volatility models or implied volatility
have better predictive power we estimate a model which incorporates
both the historical realized variance and the historical implied volatil-
ity. Our results suggest that using realized variance leads to superior
performance compared to the previous approaches. Also, the inclusion
of the implied volatility produces a slight improvement.},
author = {Zdravetz Lazarov},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C22; G10; 330; Forecasting; High-Frequency Data; Volatility; Wertpapieranalyse; Prognoseverfahren; Index-Futures; Volatilit\"{a}t; Sch\"{a}tzung; Theorie; Deutschland},
language = {eng},
number = {2004,5},
title = {Modeling and Forecasting DAX Index Volatility},
type = {Bonn econ discussion papers},
url = {http://hdl.handle.net/10419/22883},
year = {2004}
}
