|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility|
|Keywords:||HAR modeling and forecasting|
implied volatility indices
|Citation:||Kambouroudis D, McMillan D & Tsakou K (2021) Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. Journal of Futures Markets, 41 (10), pp. 1618-1639. https://doi.org/10.1002/fut.22241|
|Abstract:||We forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied volatility (IV), the leverage effect, overnight returns, and the volatility of realized volatility. We analyze 10 international stock indices finding that, although a simple HAR model augmented with IV (HAR-IV) is more accurate than any HAR model excluding it, all markets support further extensions of the HAR-IV model. More accurate forecasts are found using overnight returns in all markets except the UK, the volatility of realized volatility in the US, and the leverage effect in five markets. A value-at-risk exercise supports the economic significance of our findings.|
|Rights:||© 2021 The Authors. Journal of Futures Markets published by Wiley Periodicals LLC This is an open access article under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits use, distribution and reproduction in any medium, provided the original work is properly cited.|
|fut.22241.pdf||Fulltext - Published Version||2.98 MB||Adobe PDF||View/Open|
This item is protected by original copyright
A file in this item is licensed under a Creative Commons License
Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
The metadata of the records in the Repository are available under the CC0 public domain dedication: No Rights Reserved https://creativecommons.org/publicdomain/zero/1.0/
If you believe that any material held in STORRE infringes copyright, please contact email@example.com providing details and we will remove the Work from public display in STORRE and investigate your claim.