Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/205341 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. TI 2019-051/IV
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We assume realized kernels follow an F distribution with two time-varying degrees-of-freedom parameters, accounting for the Vol-of-Vol and the tail shape of the realized kernel distribution. The resulting score-driven dynamics imply that the influence of large (outlying) realized kernels on future volatilities and tail-shapes is mitigated. We apply our model to 30 stocks from the S&P 500 index over the period 2001-2014. The results show that tail shapes vary over time, even after correcting for the time-varying mean and Vol-of-Vol of the realized kernels. The model outperforms a number of recent competitors, both in-sample and out-of-sample. In particular, accounting for time-varying tail shapes matters for both density forecasts and forecasts of volatility risk quantiles.
Schlagwörter: 
realized kernel
heavy tails
F distribution
time-varying shape-parameter
Vol-of-Vol
score-driven dynamics
JEL: 
C32
C58
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
962.04 kB





Publikationen in EconStor sind urheberrechtlich geschützt.