Forecasting realized volatility: Do jumps in prices matter?

• Název práce v češtině: Předpovídání realizované volatility: Záleží na skocích v cenách?
• Název v anglickém jazyce: Forecasting realized volatility: Do jumps in prices matter?
• Klíčová slova: kvadratická variácia, realizovaná volatilita, realizovaná variancia, vysokofrekvenčné dáta, heterogénny autoregresný model
• Klíčová slova anglicky: quadratic variation, realized volatility, realized variance, high frequency data, heterogeneous autoregressive model
• Akademický rok vypsání: 2010/2011
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. PhDr. Jozef Baruník, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 08.06.2011
• Datum zadání: 08.06.2011
• Datum a čas obhajoby: 13.09.2012 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 31.07.2012
• Datum proběhlé obhajoby: 13.09.2012
• Oponenti: PhDr. Boril Šopov, M.Sc., LL.M.

Seznam odborné literatury

[1] Andersen, T.G.,T. Bollerslev & F.X. Diebold (2007): ”Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.” The Review of Economics and Statistics 89(4): pp. 701-720
[2] Andersen, T.G., T. Bollerslev, F.X. Diebold & H. Ebens (2001): “The distribution of realized stock return volatility.” Journal of Financial Economics 61(1): pp. 43-76
[3] Andersen, T.G., T. Bollerslev, F.X. Diebold & P. Labys (2003): “Modeling and Forecasting Realized Volatility.” Econometrica 71(2): pp. 579-625
[4] Andersen, T.G., T. Bollerslev & X. Huang (2010): “A reduced form framework for modeling volatility of speculative prices based on realized variation measures.” Journal of Econometrics 160(1): pp. 176-189
[5] Barndorff-Nielsen, O.E. & N. Shephard (2004): “Power and Bipower Variation with Stochastic Volatility and Jumps.” Journal of Financial Econometrics 2(1): pp. 1-37
[6] Bollerslev, T., T.H. Law & G. Tauchen (2008): “Risk, jumps, and diversification.” Journal of Econometrics 144(1): pp. 234-256
[7] Christensen, B.J. & M.Ø. Nielsen (2005): “The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices.” Working Papers 1186, Queen’s University, Department of Economics
[8] Corsi, F. (2009): “A Simple Approximate Long-Memory Model of Realized Volatility.” Journal of Financial Econometrics 7(2) pp. 174-196
[9] Fleming, J. & B.S. Paye (2010): “High-frequency returns, jumps and the mixture of normals hypothesis.” Journal of Econometrics 160(1): pp. 119-128

Předběžná náplň práce v anglickém jazyce

Volatility in financial markets is essential for asset pricing, asset allocation and hedging or risk management. Most of the models are based on assumptions like volatility or prices following a continuous path. However, macroeconomic news, firm-specific information or other economic news can cause dramatic changes in prices over a very short time period, which is in contrast with the assumption of continuous sample price paths. Recent studies show that discontinuous price jumps are indeed important and have a significant impact on volatility and thus also on asset pricing etc. In this thesis we are going to examine the role of price jumps and their effect on volatility using high-frequency data.