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dc.contributor.authorLazarov, Zdravetzen_US
dc.date.accessioned2009-01-29T15:10:40Z-
dc.date.available2009-01-29T15:10:40Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/22883-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesBonn econ discussion papers 2004,5en_US
dc.subject.jelC22en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordForecastingen_US
dc.subject.keywordHigh-Frequency Dataen_US
dc.subject.keywordVolatilityen_US
dc.subject.stwWertpapieranalyseen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwIndex-Futuresen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwDeutschlanden_US
dc.titleModeling and Forecasting DAX Index Volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn386890315en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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