Activity Number:
|
268
|
Type:
|
Invited
|
Date/Time:
|
Wednesday, August 14, 2002 : 8:30 AM to 10:20 AM
|
Sponsor:
|
Business & Economics Statistics Section*
|
Abstract - #300255 |
Title:
|
A Model for Intra-Daily Volatility with Multiple Indicators
|
Author(s):
|
Giampiero Gallo*+ and Robert Engle
|
Affiliation(s):
|
Universita' di Firenze and Stern School of Business, New York University
|
Address:
|
Viale GB Morgagni 59, Florence, , , Italy
|
Keywords:
|
volatility modelling ; volatility forcasting ; GARCH ; VIX ; high-low range ; realized volatility
|
Abstract:
|
The literature on volatility forecasting is being enriched by models of intra-daily volatility. In principle, as the frequency of the data grows larger, the quality of forecasts should improve. Yet, there is no consensus about a "true" measure of volatility. In this paper we propose to use three such indicators of volatility and to analyze the dynamic interactions between them. We compare the outcome that can be obtained with two different model selection procedures, and we show the performances of the models in terms of volatility forecasting over a month horizon by resorting to a market-based volatility measure such as VIX. The results show that the variables derived from the multiple indicators offer explanatory power both in and out of sample.
|