Intraday data vs daily data to forecast volatility in financial markets

DOI10.1007/978-3-319-28725-6_12MaRDI QIDQ5280128zbMATH OpenOpenAlexFDO

Authors António A. F. Santos

Publication date 20 July 2017

Published in Time Series Analysis and Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-28725-6_12

zbMATH Keywords

Bayesian estimationbig datafinancial marketsintraday dataMarkov chain Monte Carloparticle filterrealized volatilitystochastic volatility

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cited in

(2)

• Intraday forecasts of a volatility index: functional time series methods with dynamic updating
• Using intraday data to forecast daily volatility: a hybrid approach

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