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A Time-varying Mixing Multiplicative Error Model for Realized Volatility
| Content Provider | Semantic Scholar |
|---|---|
| Author | Luca, Giovanni De Gallo, Giampiero M. |
| Copyright Year | 2010 |
| Abstract | In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distributions for the innovation term with time-varying mixing weights forced by past behavior of volatility. The mixture considers innovations as a source of time-varying volatility of volatility and is able to capture the right tail behavior of the distribution of volatility. The empirical results show that there is no substantial difference in the one-step ahead conditional expectations obtained according to various mixing schemes but that fixity of mixing weights may be a binding constraint in deriving accurate quantiles of the predicted distribution. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://local.disia.unifi.it/pubblicazioni_DS/wp/2010/wp2010_03.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
