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FORECASTING THE END-OF-THE-DAY REALIZED VARIANCE

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Doman M., Doman R.

Metody Ilościowe w Badaniach Ekonomicznych

2009

vol. 10

issue 1

67-75

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.

Unobserved Component Model with Observed Cycle Use of BTS Data for Short-Term Forecasting of Industrial Production

100%

Dudek S., Pachucki D.

Prace i Materiały Instytutu Rozwoju Gospodarczego SGH

2011

vol. 86:Business Surveys, Business Cycles. Polish Contribution to the 30th CIRET Conference

83-100

In the paper we are checking the explanatory power of business tendency survey data (BTS) in short-term forecasts of industrial production within the framework of the unobserved component model (UCM). It is assumed that the "unobserved cyclical component" is common for reference quantitative variable and qualitative variable. In that sense the cyclical fluctuation of industrial production can be approximated by the fluctuations of BTS indicators. We call such a specification of structural time series model the “Unobserved component model with observed cycle" (UCM-OC). To estimate the system we are using the Kalman filter technique. Then we compare the model recursive one-period ahead forecasts to the historical path of the reference series to check its out-of-sample data fit. The forecasting properties are also evaluated against alternative models, i.e. "pure" UCM and ARIMA model. The analysis was performed for Poland and selected European Union countries.

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1 Metody Ilościowe w Badaniach Ekonomicznych

1 Prace i Materiały Instytutu Rozwoju Gospodarczego SGH

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1 Doman M.

1 Doman R.

1 Dudek S.

1 Pachucki D.

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FORECASTING THE END-OF-THE-DAY REALIZED VARIANCE

Unobserved Component Model with Observed Cycle Use of BTS Data for Short-Term Forecasting of Industrial Production