Realized Volatility -A Survey with the Application to the Japanese Stock Market-

• Watanabe Toshiaki

Bibliographic Information

Other Title

• Realized Volatility―サーベイと日本の株式市場への応用―
• Realized Volatility サーベイ ト ニホン ノ カブシキ シジョウ エノ オウヨウ

Abstract

Realized volatility, which is the sum of squared intraday returns, has recently attracted the attention of financial economists and econometricians because high-frequency returns data are now available. This article surveys the literature on realized volatility and analyzes the realized volatility in the Japanese stock market. The time-series models to describe the dynamics of realized volatility such as ARFIMA(X), HAR, UC models are explained. Their predictive abilities for future volatility are compared with those of several ARCH-type models using the daily returns and realized volatility of the Nikkei 225 stock index. Several important problems to be treated in future work are also discussed.

Journal

• 経済研究

  経済研究 58 (4), 352-373, 2007-10-25

  岩波書店

Details

• CRID: 1390290699844999168
• NII Article ID: 120003802889
• NII Book ID: AN00070761
• DOI: 10.15057/21930
• HANDLE: 10086/20318
• NDL BIB ID: 8983774
• ISSN: 00229733
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I8983774
• Text Lang: ja
• Data Source:
  • JaLC
  • IRDB
  • NDL
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Allowed