Template-Type: ReDIF-Paper 1.0
Author-Name: Asai, M.
Author-Name-Last: Asai
Author-Name-First: Manabu
Author-Person: pas73
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Title: Forecasting the Volatility of Nikkei 225 Futures
Abstract: For forecasting volatility of futures returns, the paper proposes an indirect method
 based on the relationship between futures and the underlying asset for the returns and
 time-varying volatility. For volatility forecasting, the paper considers the stochastic
 volatility model with asymmetry and long memory, using high frequency data for the
 underlying asset. Empirical results for Nikkei 225 futures indicate that the adjusted R2
 supports the appropriateness of the indirect method, and that the new method based
 on stochastic volatility models with the asymmetry and long memory outperforms the
 forecasting model based on the direct method using the pseudo long time series.
Length: 28
Creation-Date: 2017-01-15
File-URL: https://repub.eur.nl/pub/99517/EI2017-06.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: TI 2017-017/III
Number: EI2017-06
Classification-JEL: C22, C53, C58, G17
Keywords: Forecasting, Volatility, Futures, Realized Volatility, Realized Kernel, Leverage Effects, Long Memory
Handle: RePEc:ems:eureir:99517