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|Title: ||High Frequency Multiplicative Component GARCH|
|Authors: ||Engle, Robert F.|
Sokalska, Magdalena E.
|Issue Date: ||2-Aug-2005 |
|Series/Report no.: ||SC-CFE-05-05|
|Abstract: ||This paper proposes a new way of modeling and forecasting intraday
returns. We decompose the volatility of high frequency asset returns
into components that may be easily interpreted and estimated. The
conditional variance is expressed as a product of daily, diurnal and
stochastic intraday volatility components. This model is applied to a
comprehensive sample consisting of 10-minute returns on more than 2500
US equities. We apply a number of different specifications. Apart from
building a new model, we obtain several interesting forecasting results.
In particular, it turns out that forecasts obtained from the pooled
cross section of companies seem to outperform the corresponding
forecasts from company-by-company estimation.|
|Appears in Collections:||Financial Econometrics|
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