Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22883
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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 definedas the sum of the squared intra-daily returns stamped on some highfrequency basis has spurred the research in the field of volatility mod-eling and forecasting into new directions. First, the realized varianceis a much better estimate of the latent volatility than the sum of theweighted 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 standardvolatility models. These two innovations have been utilized in severalrecent papers. We extend this line of research by estimating and com-paring a wide class of volatility models for the DAX index futures thatuse the realized variance or the daily returns. To give a new view ofthe question whether time series volatility models or implied volatilityhave better predictive power we estimate a model which incorporatesboth the historical realized variance and the historical implied volatil-ity. Our results suggest that using realized variance leads to superiorperformance compared to the previous approaches. Also, the inclusionof the implied volatility produces a slight improvement.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aBonn econ discussion papers |x2004,5en_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-

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