Financial Econometrics – Slides-15: Realised Volatility Models
Introduction Conbtinuous Time Models Models for RV
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Introduction Conbtinuous Time Models Models for RV
Financial Econometrics
Slides-15: Realised Volatility Models
School of Economics1
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Introduction Conbtinuous Time Models Models for RV
Realised volatility (RV)
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from this material
Introduction Conbtinuous Time Models Models for RV
RV: Continuous time model & intraday returns
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from this material
Introduction Conbtinuous Time Models Models for RV
RV: Continuous time model & intraday returns
©Copyright University of Wales 2020. All rights reserved. This copyright notice must not be removed
from this material
Introduction Conbtinuous Time Models Models for RV
RV: Continuous time model & intraday returns
©Copyright University of Wales 2020. All rights reserved. This copyright notice must not be removed
from this material
Introduction Conbtinuous Time Models Models for RV
RV: Continuous time model & intraday returns
©Copyright University of Wales 2020. All rights reserved. This copyright notice must not be removed
from this material
Introduction Conbtinuous Time Models Models for RV
RV: Continuous time model & intraday returns
©Copyright University of Wales 2020. All rights reserved. This copyright notice must not be removed
from this material
Introduction Conbtinuous Time Models Models for RV
RV: Continuous time model & intraday returns
©Copyright University of Wales 2020. All rights reserved. This copyright notice must not be removed
from this material
Introduction Conbtinuous Time Models Models for RV
RV: Continuous time model & intraday returns
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from this material
Introduction Conbtinuous Time Models Models for RV
RV Example: Realised variance
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from this material
Introduction Conbtinuous Time Models Models for RV
RV Example: Realised variance
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Introduction Conbtinuous Time Models Models for RV
RV Example: Realised variance (Continued)
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Introduction Conbtinuous Time Models Models for RV
Characteristics of Realised variance
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Introduction Conbtinuous Time Models Models for RV
Models for RV: Long Memory Models
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Introduction Conbtinuous Time Models Models for RV
Models for RV: Long Memory Models
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Introduction Conbtinuous Time Models Models for RV
Long Memory Models: Example
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Introduction Conbtinuous Time Models Models for RV
Models for RV: Heterogeneous AR (HAR) model
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Introduction Conbtinuous Time Models Models for RV
HAR for ln(RV )
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Introduction Conbtinuous Time Models Models for RV
HAR for ln(RV ): Example
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Introduction Conbtinuous Time Models Models for RV
HAR for ln(RV ): Example
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Introduction Conbtinuous Time Models Models for RV
HAR for ln(RV ): Example
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Introduction Conbtinuous Time Models Models for RV
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from this material
Introduction
Conbtinuous Time Models
Characteristics of RV
Models for RV
Long Memory Models
Heterogeneous AR (HAR) model
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