Modeling the Variance of Return Intervals Toward Volatility Prediction. (15th December 2019)
- Record Type:
- Journal Article
- Title:
- Modeling the Variance of Return Intervals Toward Volatility Prediction. (15th December 2019)
- Main Title:
- Modeling the Variance of Return Intervals Toward Volatility Prediction
- Authors:
- Sun, Yan
Lian, Guanghua
Lu, Zudi
Loveland, Jennifer
Blackhurst, Isaac - Abstract:
- Abstract : Interval‐valued time series has been attracting increasing interest. There have been fruitful results on mean models, but variance models largely remain unexploited. In this article, we propose a conditional heteroskedasticity model for the return interval process, which aims at capturing the underlying variance structure. Under the general framework of random sets, the model properties are investigated. Parameters are estimated by the maximum likelihood method, and the asymptotic properties are established. Empirical application to stocks and financial indices data sets suggests that our model overall outperforms the traditional generalized autoregressive conditional heteroskedasticity for both in‐sample estimation and out‐of‐sample prediction of the volatility.
- Is Part Of:
- Journal of time series analysis. Volume 41:Number 4(2020)
- Journal:
- Journal of time series analysis
- Issue:
- Volume 41:Number 4(2020)
- Issue Display:
- Volume 41, Issue 4 (2020)
- Year:
- 2020
- Volume:
- 41
- Issue:
- 4
- Issue Sort Value:
- 2020-0041-0004-0000
- Page Start:
- 492
- Page End:
- 519
- Publication Date:
- 2019-12-15
- Subjects:
- Interval‐valued time series -- stationarity -- maximum likelihood estimate -- random sets -- price range -- volatility
Time-series analysis -- Periodicals
519.232 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9892 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/jtsa.12518 ↗
- Languages:
- English
- ISSNs:
- 0143-9782
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5069.400000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 18808.xml