English, Article, Journal or magazine article edition: On forecasting daily stock volatility: the role of intraday information and market conditions Marwan Izzeldin; Ana-Maria Fuertes; Elena Kalotychou

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On forecasting daily stock volatility: the role of intraday information and market conditions
Author
  • Marwan Izzeldin
  • Ana-Maria Fuertes
  • Elena Kalotychou
Physical Description
  • preprint
Notes
  • Several recent studies advocate the use of nonparametric estimators of daily price vari- ability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. The forecast race is conducted in a GARCH framework and relies on several loss functions. The realized range fares relatively well in the in-sample .t analysis, for instance, regarding the extent to which it brings normality in returns. However, overall the realised power variation provides the most accurate 1-day-ahead forecasts. Fore- cast combination of all four intraday measures produces the smallest forecast errors in about half of the sampled stocks. A market conditions analysis reveals that the additional use of intraday data on day t .. 1 to forecast volatility on day t is most advantageous when day t is a low volume or an up-market day. The results have implications for value-at-risk analysis.
  • C53; C32; C14.
  • RePEc:lan:wpaper:005439
Language
  • English
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