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dc.contributor.authorLazarov, Zdravetzen
dc.date.accessioned2009-01-29T15:10:40Z-
dc.date.available2009-01-29T15:10:40Z-
dc.date.issued2004-
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 modeling 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 comparing the out-of-sample performances of competing volatility models. Additionally, it can enter as a parameter in these models proving better 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 comparing 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 volatility. 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
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x5/2004en
dc.subject.jelC22en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.keywordForecastingen
dc.subject.keywordHigh-Frequency Dataen
dc.subject.keywordVolatilityen
dc.subject.stwWertpapieranalyseen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwIndex-Futuresen
dc.subject.stwVolatilitäten
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwDeutschlanden
dc.titleModeling and Forecasting DAX Index Volatility-
dc.typeWorking Paperen
dc.identifier.ppn386890315en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:52004-

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