Long memory versus structural breaks in modeling and forecasting realized volatility
Long memory versus structural breaks in modeling and forecasting realized volatility
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DOI：
10.1016/j.jimonfin.2009.12.001
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发表时间：
2010-09-01
影响因子：
2.5
通讯作者：
Zivot, Eric
中科院分区：
文献类型：
--
作者：
Choi, Kyongwook;Yu, Wei-Choun;Zivot, Eric
本文研究了德国马克/美元、日元/美元和日元/德国马克即期汇率的日已实现波动率在长期记忆行为下出现结构性突变的可能性。我们发现均值的结构性突变可以部分解释已实现波动的持续性。我们提出了一个VAR-RV-Break模型，该模型在已知未来突变时间的情况下具有上级预测能力。在突变日期和大小未知的情况下，我们发现VAR-RV-I（d）长记忆模型提供了一个稳健的预测方法，即使真实的金融波动序列是由结构突变产生的。(C)2009爱思唯尔有限公司版权所有。
We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with observed long memory behavior. We find that structural breaks in the mean can partly explain the persistence of realized volatility. We propose a VAR-RV-Break model that provides superior predictive ability when the timing of future breaks is known. With unknown break dates and sizes, we find that a VAR-RV-I(d) long memory model provides a robust forecasting method even when the true financial volatility series are generated by structural breaks. (C) 2009 Elsevier Ltd. All rights reserved.