FORECASTING THE END-OF-THE-DAY REALIZED VARIANCE

• Authors: Małgorzata Doman , Ryszard Doman
• Languages of publication: EN

Abstracts

EN

A large package of information is being reflected in stock prices during a short period after opening. Moreover, the start-of-the-day (morning) volatility has a strong impact on the price variability during all the day. In this connection, the question is whether the morning realized variance calculated as the sum of morning squared intraday returns can be useful in forecasting the daily realized variance (end-of-the-day volatility). In the paper, we apply three different methods of forecasting the daily realized variance for stocks quoted on the Warsaw Stock Exchange Our findings show that the morning realized variance provides valuable information that can be used in forecasting the daily realized variance.

Keywords

EN

realized volatility; forecasts; ARFIMA; unobserved component model

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2009
• Volume: 10
• Issue: 1
• Pages: 67-75

Contributors

author

Małgorzata Doman

• Katedra Matematyki Stosowanej, UE w Poznaniu

author

Ryszard Doman

• Wydział Matematyki i Informatyki, AMU w Poznaniu

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