This paper deals with the analysis and the forecast of volatility using data characterized by a frequency higher than daily. The aim is to check the adequacy of the traditional ARCH modelling for high frequency returns as well as the use of them for better forecasts of the daily volatility. Finally, tick-by-tick data whose main feature is the irregular spacing in time are investigated.
Forecasting volatility using high-frequency data
DE LUCA, GIOVANNI
2006-01-01
Abstract
This paper deals with the analysis and the forecast of volatility using data characterized by a frequency higher than daily. The aim is to check the adequacy of the traditional ARCH modelling for high frequency returns as well as the use of them for better forecasts of the daily volatility. Finally, tick-by-tick data whose main feature is the irregular spacing in time are investigated.File in questo prodotto:
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