INCLUDING JUMP COMPONENTS IN MODELING AND FORECASTING REALIZED VOLATILITY: EVIDENCE FROM TEHRAN STOCK EXCHANGE

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FALLAHPOUR SAEID; MOTAHARINIA VAHID

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2017 | Volume:8 | Issue:32 Page(s): 171-190

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Title

INCLUDING JUMP COMPONENTS IN MODELING AND FORECASTING REALIZED VOLATILITY: EVIDENCE FROM TEHRAN STOCK EXCHANGE

Author(s)

FALLAHPOUR SAEID | MOTAHARINIA VAHID | Issue Writer Certificate

Keywords

REALIZED VOLATILITYQ1

VOLATILITY MODELINGQ1

HARQ1

RVQ1

JUMP IDENTIFINGQ2

TEHRAN STOCK EXCHANGEQ2

Abstract

In recent years, financial markets have faced with high volatility so that the unreliability caused by this, has made investors to be concerned. Therefore, VOLATILITY MODELING and prediction is taken into consideration in various researches and practical issues. In this regard, access to high frequency data creates a new field in VOLATILITY MODELING and return prediction of financial assets. In this Thesis using high frequency data, the VOLATILITY MODELING has been performed by HAR-RV family models, and the effect of adding jump component to volatility prediction efficiency of index is studied in Tehran Securities Exchange. The results of modeling and prediction suggest that the forecast error is decreased by adding jump component into model, and also the separation of jump and continuous components of REALIZED VOLATILITY is effective on performance improvement.

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APA: Copy

FALLAHPOUR, SAEID, & MOTAHARINIA, VAHID. (2017). INCLUDING JUMP COMPONENTS IN MODELING AND FORECASTING REALIZED VOLATILITY: EVIDENCE FROM TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(32 ), 171-190. SID. https://sid.ir/paper/197838/en

Vancouver: Copy

FALLAHPOUR SAEID, MOTAHARINIA VAHID. INCLUDING JUMP COMPONENTS IN MODELING AND FORECASTING REALIZED VOLATILITY: EVIDENCE FROM TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;8(32 ):171-190. Available from: https://sid.ir/paper/197838/en

IEEE: Copy

SAEID FALLAHPOUR, and VAHID MOTAHARINIA, “INCLUDING JUMP COMPONENTS IN MODELING AND FORECASTING REALIZED VOLATILITY: EVIDENCE FROM TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 32 , pp. 171–190, 2017, [Online]. Available: https://sid.ir/paper/197838/en

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