Time series forecasting of volatility using high frequency data

Time series forecasting of volatility using high frequency data

This study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, an...

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Main Authors: Tan, Hai Kang, Ernest, Vinod
Other Authors: Low, Buen Sin
Format: Theses and Dissertations
Language:English
Published: 2008
Subjects:
DRNTU::Business::Finance
Online Access:http://hdl.handle.net/10356/7694
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-76942024-01-12T10:10:22Z Time series forecasting of volatility using high frequency data Tan, Hai Kang Ernest, Vinod Low, Buen Sin Nanyang Business School DRNTU::Business::Finance This study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, and intraday returns. Master of Science (Financial Engineering) 2008-09-18T07:49:47Z 2008-09-18T07:49:47Z 2002 2002 Thesis http://hdl.handle.net/10356/7694 en Nanyang Technological University 30 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance
spellingShingle DRNTU::Business::Finance
Tan, Hai Kang
Ernest, Vinod
Time series forecasting of volatility using high frequency data
description This study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, and intraday returns.
author2 Low, Buen Sin
author_facet Low, Buen Sin
Tan, Hai Kang
Ernest, Vinod
format Theses and Dissertations
author Tan, Hai Kang
Ernest, Vinod
author_sort Tan, Hai Kang
title Time series forecasting of volatility using high frequency data
title_short Time series forecasting of volatility using high frequency data
title_full Time series forecasting of volatility using high frequency data
title_fullStr Time series forecasting of volatility using high frequency data
title_full_unstemmed Time series forecasting of volatility using high frequency data
title_sort time series forecasting of volatility using high frequency data
publishDate 2008
url http://hdl.handle.net/10356/7694
_version_ 1789482908527886336

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