Economics Faculty Database
Economics
Arts & Sciences
Duke University

 HOME > Arts & Sciences > Economics > Faculty    Search Help Login pdf version printable version 

Publications [#238046] of Tim Bollerslev

Journal Articles

  1. Bollerslev, T; Wright, JR, Volatility Forecasting, High-Frequency Data, and Frequency Domain Inference, Review of Economics and Statistics, vol. 83 no. 4 (2001), pp. 596-602 [doi]
    (last updated on 2024/03/28)

    Abstract:
    Although it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the most appropriate parametric model for characterizing this temporal dependence. In this paper, we propose a simple way of modeling financial market volatility using high-frequency data. The method avoids using a tight parametric model by instead simply fitting a long autoregression to log-squared, squared, or absolute high-frequency returns. This can either be estimated by the usual time domain method, or alternatively the autoregressive coefficients can be backed out from the smoothed periodogram estimate of the spectrum of log-squared, squared, or absolute returns. We show how this approach can be used to construct volatility forecasts, which compare favorably with some leading alternatives in an out-of-sample forecasting exercise.


Duke University * Arts & Sciences * Economics * Faculty * Research * Staff * Master's * Ph.D. * Reload * Login