Sökning: "tripower variation"

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  1. 1. Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Anton Agermark; Visar Hoti; [2016-10-04]
    Nyckelord :forecasting; implied volatility; realized volatility; jump process; bipower variation; tripower variation; high-frequency data; FX;

    Sammanfattning : In this paper we study a set of models' forecasting accuracy of realized volatility in two SEK denominated exchange rates, EUR/SEK and USD/SEK, with the purpose to analyze if ex-post or ex-ante forecasting models produce the most accurate forecasts. High-frequency exchange rate data is employed in order to construct the ex-post Heterogeneous Autoregressive Model of Realized Volatility, HAR-RV, as well as a modi ed model using the bipower and tripower variation to separate the continuous sample path (C) and the jump component (J) of realized volatility, HAR-CJ. LÄS MER