Abstract #300255

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JSM 2002 Abstract #300255
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.

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