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Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 17-017/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset. Empirical results for Nikkei 225 futures indicate that the adjusted R2 supports the appropriateness of the indirect method, and that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting model based on the direct method using the pseudo long time series.
Schlagwörter: 
Forecasting
Volatility
Futures
Realized Volatility
Realized Kernel
Leverage Effects
Long Memory.
JEL: 
C22
C53
C58
G17
Dokumentart: 
Working Paper
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