Related papers: Exploiting Intraday Decompositions in Realized Vol…
We apply machine learning models to forecast intraday realized volatility (RV), by exploiting commonality in intraday volatility via pooling stock data together, and by incorporating a proxy for the market volatility. Neural networks…
The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this predictability depends on a forecast's ability to predict…
A novel framework for hierarchical forecast updating is presented, addressing a critical gap in the forecasting literature. By assuming a temporal hierarchy structure, the innovative approach extends hierarchical forecast reconciliation to…
We introduce the Historical and Dynamic Volatility Ratios (HVR/DVR) and show that equity and index volatilities are cointegrated at intraday and daily horizons. This allows us to construct a VECM to forecast portfolio volatility by…
We inspect how accurate machine learning (ML) is at forecasting realized variance of the Dow Jones Industrial Average index constituents. We compare several ML algorithms, including regularization, regression trees, and neural networks, to…
This paper introduces an innovative realized volatility (RV) forecasting framework that extends the conventional Heterogeneous autoregressive (HAR) model via integrating Graph Signal Processing (GSP). The study first evaluates various…
This paper applies the realized exponential generalized autoregressive conditional heteroskedasticity (REGARCH) model to analyze the Nikkei 225 index from 2010 to 2017, utilizing realized variance (RV) and realized range-based volatility…
A novel approach for dynamic modeling and forecasting of realized covariance matrices is proposed. Realized variances and realized correlation matrices are jointly estimated. The one-to-one relationship between a positive definite…
We propose a model to forecast large realized covariance matrices of returns, applying it to the constituents of the S\&P 500 daily. To address the curse of dimensionality, we decompose the return covariance matrix using standard firm-level…
We examine whether model-based spot volatility estimators extracted from traded options data enhance the predictive power of the Heterogeneous Autoregressive (HAR) model for realized volatility. Specifically, we infer spot volatility under…
Renewable energy generation is of utmost importance for global decarbonization. Forecasting renewable energies, particularly wind energy, is challenging due to the inherent uncertainty in wind energy generation, which depends on weather…
This paper analyzes the benefits of sampling intraday returns in intrinsic time for the realized variance (RV) estimator. We theoretically show in finite samples that depending on the permitted sampling information, the RV estimator is most…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. We test algorithms including regularized regression and…
While we are usually focused on forecasting future values of time series, it is often valuable to additionally predict their entire probability distributions, e.g. to evaluate risk, Monte Carlo simulations. On example of time series of…
We introduce a dynamic approach to probabilistic forecast reconciliation at scale. Our model differs from the existing literature in this area in several important ways. Firstly we explicitly allow the weights allocated to the base…
Volatility prediction--an essential concept in financial markets--has recently been addressed using sentiment analysis methods. We investigate the sentiment of annual disclosures of companies in stock markets to forecast volatility. We…
Hierarchical forecasting is a key problem in many practical multivariate forecasting applications - the goal is to simultaneously predict a large number of correlated time series that are arranged in a pre-specified aggregation hierarchy.…
Volatility forecasts play a central role among equity risk measures. Besides traditional statistical models, modern forecasting techniques based on machine learning can be employed when treating volatility as a univariate, daily…
In this paper, we propose a machine learning approach for forecasting hierarchical time series. When dealing with hierarchical time series, apart from generating accurate forecasts, one needs to select a suitable method for producing…