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Activity Number:
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180
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Type:
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Invited
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Date/Time:
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Monday, July 30, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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| Abstract - #308105 |
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Title:
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Heterogeneous Autoregressive Realized Volatility Model
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Author(s):
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Yazhen Wang*+
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Companies:
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University of Connecticut
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Address:
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Dept. of Statistics, Storrs, CT, 06269,
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Keywords:
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High Frequency ; Realized Volatility ; Dynamic Model
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Abstract:
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Volatilities of asset returns are pivotal for many issues in financial economics. The availability of high-frequency intraday data should allow us to estimate volatility more accurately. Realized volatility is often used to estimate integrated volatility. To obtain better volatility estimation and forecast, some autoregressive structure of realized volatility is proposed in the literature. This talk will present my recent work on heterogeneous autoregressive models of realized volatility.
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