Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

Name: Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
Creator: 美国国家经济研究局
Published: 2004-11-01 00:00:00
License: 暂无描述

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https://www.nber.org/papers/w10914

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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

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美国国家经济研究局

创建时间：

2004-11-01