The impact of overnight returns on realized volatility
The impact of overnight returns on realized volatility
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DOI：
10.1080/09603107.2011.613760
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发表时间：
2012-03
期刊：
影响因子：
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通讯作者：
Tseng-Chan Tseng-Tseng-Chan-Tseng-92477867;Hung‐Cheng Lai;C. Lin
中科院分区：
文献类型：
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作者：
Tseng-Chan Tseng-Tseng-Chan-Tseng-92477867;Hung‐Cheng Lai;C. Lin
我们获得了在台湾证券交易所（TWSE）上市的三个股票指数的日内数据，然后通过将隔夜收益率指标纳入已实现波动率的“异质自回归”（HAR）模型来分析数据。我们的总体目标是加强对未来波动的预测。我们的研究结果表明，修改后的模型显着提高了未来已实现波动率的预测性能，我们的结果也被发现继续举行的样本和样本预测。
We obtain intraday data on three stock indices listed on the Taiwan Stock Exchange (TWSE), and then analyse the data by incorporating an overnight returns indicator into the ‘Heterogeneous Auto-Regressive’ (HAR) model of realized volatility. Our overall aim is to enhance the forecasting of future volatility. Our findings demonstrate that the modified model significantly improves the forecasting performance of future realized volatility, with our results also being found to continue to hold for both in sample and out of sample forecasts.