Forecasting realized volatility: Do jumps in prices matter?
| Thesis title in Czech: | Předpovídání realizované volatility: Záleží na skocích v cenách? |
|---|---|
| Thesis title in English: | Forecasting realized volatility: Do jumps in prices matter? |
| Key words: | kvadratická variácia, realizovaná volatilita, realizovaná variancia, vysokofrekvenčné dáta, heterogénny autoregresný model |
| English key words: | quadratic variation, realized volatility, realized variance, high frequency data, heterogeneous autoregressive model |
| Academic year of topic announcement: | 2010/2011 |
| Thesis type: | diploma thesis |
| Thesis language: | angličtina |
| Department: | Institute of Economic Studies (23-IES) |
| Supervisor: | doc. PhDr. Jozef Baruník, Ph.D. |
| Author: | hidden - assigned by the advisor |
| Date of registration: | 08.06.2011 |
| Date of assignment: | 08.06.2011 |
| Date and time of defence: | 13.09.2012 00:00 |
| Venue of defence: | IES |
| Date of electronic submission: | 31.07.2012 |
| Date of proceeded defence: | 13.09.2012 |
| Opponents: | PhDr. Boril Šopov, M.Sc., LL.M. |
| URKUND check: | |
| References |
| [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 |
| Preliminary scope of work in English |
| 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. |