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

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/16915
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