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Modelling The Intraday Return Of Volatility Process In The Australian Equity Market
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Book Synopsis Modelling the Intraday Return of Volatility Process in the Australian Equity Market by : Andrew Worthington
Download or read book Modelling the Intraday Return of Volatility Process in the Australian Equity Market written by Andrew Worthington and published by . This book was released on 2003 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The data set employed consists of five-minute returns, trading volumes at bid-ask spreads over the period 31 December 2002 to 4 March 2003 for the fifty national and multinational stocks comprising the S&P/ASX 50 index." --p. 1.
Book Synopsis Public Information Arrival and Volatility of Intraday Stock Returns by : Petko S. Kalev
Download or read book Public Information Arrival and Volatility of Intraday Stock Returns written by Petko S. Kalev and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data from the Australian Stock Exchange. Our analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening volatility. Furthermore, the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces volatility persistence, especially with intraday data. Combined with the evidence that news arrivals display a very strong pattern of autocorrelation, our results are consistent with the Mixture of Distribution Hypothesis, which attributes conditional heteroscedasticity of stock returns to time-dependence in the news arrival process.
Book Synopsis Intraday Volatility Forecast in Australian Equity Market by : Abhay Kumar Singh
Download or read book Intraday Volatility Forecast in Australian Equity Market written by Abhay Kumar Singh and published by . This book was released on 2013 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: On the afternoon of May 6, 2010 Dow Jones Industrial Average (DJIA) plunged about 1000 points (about 9%) in a matter of minutes before rebounding almost as quickly. This was the biggest one day point decline on an intraday basis in the DJIA's history. An almost similar dramatic change in intraday volatility was observed on April 4, 2000 when DJIA dropped by 4.8%. These historical events present very compelling argument for the need of robust econometrics models which can forecast intraday asset volatility. There are numerous models available in the finance literature to model financial asset volatility. Various Autoregressive Conditional Heteroskedastic (ARCH) time series models are widely used for modelling daily (end of day) volatility of the financial assets. The family of basic GARCH models work well for modelling daily volatility but they are proven to be not as efficient for intraday volatility. The last two decades has seen some research augmenting the GARCH family of models to forecast intraday volatility, the Multiplicative Component GARCH (MCGARCH) model of Engle & Sokalska (2012) is the most recent of them. MCGARCH models the conditional variance as the multiplicative product of daily, diurnal, and stochastic intraday volatility of the financial asset. In this paper we use MCGARCH model to forecast intraday volatility of Australia's S&P/ASX-50 stock market, we also use the model to forecast the intraday Value at Risk. As the model requires a daily volatility component, we test a GARCH based estimate and a Realized Variance based estimate of daily volatility component.
Book Synopsis Modelling and forecasting stock return volatility and the term structure of interest rates by : Michiel de Pooter
Download or read book Modelling and forecasting stock return volatility and the term structure of interest rates written by Michiel de Pooter and published by Rozenberg Publishers. This book was released on 2007 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.
Book Synopsis Asia Pacific Journal of Finance by :
Download or read book Asia Pacific Journal of Finance written by and published by . This book was released on 1998 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Return Dynamics Over Intra-day Trading and Nontrading Periods in the London Stock Market by : Ronald W. Masulis
Download or read book Stock Return Dynamics Over Intra-day Trading and Nontrading Periods in the London Stock Market written by Ronald W. Masulis and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns by : Jeremias Bekierman
Download or read book A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns written by Jeremias Bekierman and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long-run component that changes at daily frequency and a short-run component that captures the remaining intraday volatility dynamics. An additional component captures deterministic intraday patterns. We analyze the stochastic properties of the resulting non-linear state-space model both on the daily and the intraday frequency and show how the model can be estimated in a single step using simulated maximum likelihood based on Efficient Importance Sampling (EIS). We apply the model to intraday returns of five New York Stock Exchange traded stocks. The estimation results indicate distinct dynamic patterns for daily and intradaily volatility components, where about 50% of intraday volatility dynamics are explained by the daily component. In-sample diagnostic tests and an out-of-sample forecasting experiment indicate that already the very basic model specification successfully accounts for the complex dynamic and distributional properties of asset returns both on the intraday and the daily frequency.
Book Synopsis Modelling Australian Stock Market Volatility by : Indika Karunanayake
Download or read book Modelling Australian Stock Market Volatility written by Indika Karunanayake and published by . This book was released on 2009 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling Australian Stock Market Volatility by : Tim Brailsford
Download or read book Modelling Australian Stock Market Volatility written by Tim Brailsford and published by . This book was released on 1993 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Overnight and Daytime Stock Return Dynamics on the London Stock Exchange by : Ronald W. Masulis
Download or read book Overnight and Daytime Stock Return Dynamics on the London Stock Exchange written by Ronald W. Masulis and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Distribution of Stock Return Volatility by : Torben G. Andersen
Download or read book The Distribution of Stock Return Volatility written by Torben G. Andersen and published by . This book was released on 2010 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We exploit direct model-free measures of daily equity return volatility and correlation obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average over a five-year period to confirm, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional distributions of the variances and covariances for all thirty stocks are leptokurtic and highly skewed to the right, while the logarithmic standard deviations and correlations all appear approximately Gaussian. Moreover, the distributions of the returns scaled by the realized standard deviations are also Gaussian. Consistent with our documentation of remarkably precise scaling laws under temporal aggregation, the realized logarithmic standard deviations and correlations all show strong temporal dependence and appear to be well described by long-memory processes. Positive returns have less impact on future variances and correlations than negative returns of the same absolute magnitude, although the economic importance of this asymmetry is minor. Finally, there is strong evidence that equity volatilities and correlations move together, possibly reducing the benefits to portfolio diversification when the market is most volatile. Our findings are broadly consistent with a latent volatility fact or structure, and they set the stage for improved high-dimensional volatility modeling and out-of-sample forecasting, which in turn hold promise for the development of better decision making in practical situations of risk management, portfolio allocation, and asset pricing.
Book Synopsis Analysing Intraday Implied Volatility for Pricing Currency Options by : Thi Le
Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by Springer Nature. This book was released on 2021-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Book Synopsis Modeling Intraday Volatility in European Bond Markets by : Hanyu Zhang
Download or read book Modeling Intraday Volatility in European Bond Markets written by Hanyu Zhang and published by . This book was released on 2019 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the intraday volatility of European government bonds under the framework of the multiplicative component GARCH model (Engle and Sokalska, 2012). Intraday return volatility is specified as the product of daily volatility, intraday seasonality, and a unit GARCH process. The model is applied to 10-year European government bonds during the sovereign debt crisis. We observe large transitory intraday volatility often due to illiquidity effects and outliers. We suggest a flexible and effective procedure for jointly filtering mid-quote prices and estimating volatility models. Finally, we show that intraday data contain relevant information for daily volatility forecasts.
Download or read book The Latent Factor VAR Model written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intraday Trading Volume and Return Volatility of the Djia Stocks by : Ali F. Darrat
Download or read book Intraday Trading Volume and Return Volatility of the Djia Stocks written by Ali F. Darrat and published by . This book was released on 2003 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis.
Book Synopsis Price Interdependence Among Equity Markets in the Asia-Pacific Region by : Eduardo Roca
Download or read book Price Interdependence Among Equity Markets in the Asia-Pacific Region written by Eduardo Roca and published by Routledge. This book was released on 2020-11-26 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
Book Synopsis A Practical Guide to Forecasting Financial Market Volatility by : Ser-Huang Poon
Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
