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A1553
Topic: Contributions on time series Title: The forecast of financial volatility using volume-scaled returns through stochastic volatility models and intraday data Authors:  Antonio Santos - University of Coimbra (Portugal) [presenting]
Abstract: The volatility is one of the most studied subjects in the financial literature. Model-free and model-dependent measures have been proposed to measure the evolution of the volatility through time. With the availability of intraday data, measures like the realized volatility have gained considerable attention. The environment associated with the transactions in the financial markets constitutes a challenge to the realized volatility measure, where there is a clear departure from the theoretical setting associated with the definition of the measure. Using intraday data, the aim is to characterize the evolution of the intraday volatility through models commonly used to characterize the volatility evolution at lower frequencies. We use stochastic volatility models to characterize and forecast the evolution of intraday volatility, where the main novelty is the utilization of volume-scaled returns. All characteristics amenable of being characterized by the stochastic volatility model are found in this kind of returns, and volatility forecasts at higher frequencies are made possible of being obtained.