Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
收藏NBER2004-11-01 更新2025-01-04 收录
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https://www.nber.org/papers/w10914
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资源简介：
We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in the
提供机构：
美国国家经济研究局
创建时间：
2004-11-01
