A0851
Title: Exploiting intraday decompositions in realized volatility forecasting: A forecast reconciliation approach
Authors: Daniele Girolimetto - University of Padova (Italy) [presenting]
Massimiliano Caporin - University of Padova (Italy)
Tommaso Di Fonzo - University of Padova (Italy)
Abstract: The construction of realized variance (RV) forecasts is addressed by exploiting the hierarchical structure implicit in available decompositions of RV. A post-forecasting approach is proposed that utilizes bottom-up and regression-based reconciliation methods. Using data referred to the Dow Jones industrial average index and its constituents shows that exploiting the informative content of hierarchies improves the forecast accuracy. Forecasting performance is evaluated out-of-sample based on the empirical MSE and QLIKE criteria as well as using the model confidence set approach.
