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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26361

Title: High Frequency Multiplicative Component GARCH
Authors: F. Engle, Robert
E. Sokalska, Magdalena
Chanda, Ananda
Issue Date: 2-Aug-2005
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 sto-chastic 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 dif-ferent specifications. Apart from building a new model, we obtain several interesting fore-casting 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.
URI: http://hdl.handle.net/2451/26361
Appears in Collections:Finance Working Papers

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