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Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
http://hdl.handle.net/2261/55826
http://hdl.handle.net/2261/558261c327dc4-d0d9-4a78-a2b4-cab84200d4b3
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2014-05-01 | |||||
| タイトル | ||||||
| タイトル | Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Backtesting | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Bias correction | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Expected shortfall | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Generalized hyperbolic skew Student's t-distribution | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Markov chain Monte Carlo | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Realized volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stochastic volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Value-at-risk | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Takahashi, Makoto
× Takahashi, Makoto× Watanabe, Toshiaki× Omori, Yasuhiro |
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| 著者所属 | ||||||
| 著者所属 | Center for the Study of Finance and Insurance, Osaka University | |||||
| 著者所属 | ||||||
| 著者所属 | Department of Finance, Kellogg School of Management, Northwestern University | |||||
| 著者所属 | ||||||
| 著者所属 | Institute of Economic Research, Hitotsubashi University | |||||
| 著者所属 | ||||||
| 著者所属 | Faculty of Economics, University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The realized stochastic volatility model of Takahashi, Omori, and Watanabe (2009), which incorporates the asymmetric stochastic volatility model with the realized volatility, is extended with more general form of bias correction in realized volatility and wider class distribution, the generalized hyperbolic skew Student's t-distribution, for financial returns. The extensions make it possible to adjust the bias due to the market microstructure noise and non-trading hours, which possibly depends on the level of the volatility, and to consider the heavy tail and skewness in financial returns. With the Bayesian estimation scheme via Markov chain Monte Carlo method, the model enables us to estimate the parameters in the return distribution and in the model jointly. It also makes it possible to forecast volatility and return quantiles by sampling from their posterior distributions jointly. The model is applied to quantile forecasts of financial returns such as value-at-risk and expected shortfall as well as volatility forecasts and those forecasts are evaluated by several backtesting procedures. Empirical results with SPDR, the S&P 500 exchange-traded fund, show that the heavy tail and skewness of daily returns are important for the model fit and the quantile forecasts but not for the volatility forecasts, and that the additional bias correction improves the quantile forecasts but does not substantially improve the model fit nor the volatility forecasts. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-921, 発行日 2014-02 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2014/2014cf921ab.html | |||||
