Results found: 1

Search results

Sort By:

Limit search:

FORECASTING THE END-OF-THE-DAY REALIZED VARIANCE

100%

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.

Refine search results

1 Metody Ilościowe w Badaniach Ekonomicznych

1 Doman M.

1 Doman R.

1 2009

Search results

FORECASTING THE END-OF-THE-DAY REALIZED VARIANCE