Template-Type: ReDIF-Paper 1.0
Author-Name: Asai, M.
Author-Name-Last: Asai
Author-Name-First: Manabu
Author-Person: pas73
Author-Name: Chang, C-L.
Author-Name-Last: Chang
Author-Name-First: Chia-Lin
Author-Person: pch286
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Title: Realized Stochastic Volatility with General Asymmetry and Long Memory
Abstract: The paper develops a novel realized stochastic volatility model of asset returns and realized volatility
 that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The
 contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of
 highly non-linear model specifications (“Causality tests and observationally equivalent representations
 of econometric models”, Journal of Econometrics, 1988), especially for specifying causal
 effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood
 estimator for the RSV-GALM model and a test for general asymmetry, and analyses the
 finite sample properties. The paper also develops an approach to obtain volatility estimates and
 out-of-sample forecasts. Using high frequency data for three US financial assets, the new model
 is estimated and evaluated. The paper compares the forecasting performance of the new model
 with a realized conditional volatility model.
Length: 36
Creation-Date: 2017-04-01
File-URL: https://repub.eur.nl/pub/100161/EI2017-09-Report.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: TI 2017-038/III
Number: EI2017-09
Classification-JEL: C13, C22
Keywords: Stochastic Volatility, Realized Measure, Long Memory, Asymmetry, Whittle likelihood, Asymptotic Distribution
Handle: RePEc:ems:eureir:100161