|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. 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.|
|Notes:||Output Status: Forthcoming/Available Online|
|fut.22241.pdf||Fulltext - Published Version||3.1 MB||Adobe PDF||View/Open|
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