Modeling and Forecasting for Realized Volatility of Warrants Based on a Threshold Multiplicative Error Model

摘要：

In this paper, we extended the Multiplicative Error Model introduced by Engle (2002): a nonnegative valued process is seen as the product of a scale factor which follows a GARCH type specification and a unit means innovation process. By allowing the model change by threshold space, we have introduced a new kind of Threshold Mixture Multiplicative Error Model (T-MEM). Furthermore, the new model was applied to the daily realized volatility series of domestic warrants, which is a unbiased, super-consistent and efficient estimate of low-frequency volatility based on the history, ex-post sample variance of high-frequency data. The empirical results show the new models good fit and excellent short-term forecast performance comparing to the MEM model.

关键词： the realized volatility threshold threshold mixture multiplicative error model nonlinear test gamma distribution

作者: PAN Na

作者单位: Huazhong University of Science and Technology, P.R.China, 430074 Hubei University of Police, P.R.China, 430034

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 642-647

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）