文章基本信息

标题：Forecasting gains of robust realized variance estimators: evidence from European stock markets
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作者：Prateek Sharma ; Swati Sharma
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2014
卷号：34
期号：4
出版社：Economics Bulletin
摘要：The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead of the RV estimator, in the context of volatility forecasting. The recently proposed Realized GARCH framework is used to generate daily forecasts of the conditional variance for eight European stock indices. The out-of-sample comparisons indicate that the RRV estimators improve upon the RV estimator on efficiency and bias criteria.
关键词：Realized Variance ; Realized GARCH ; realized kernel ; forecasting ; volatility ; Bipower variation ; Microstructure noise