Time-Varying Parameter Realized Volatility Models

2016 ◽  
Vol 36 (5) ◽  
pp. 566-580 ◽  
Author(s):  
Yudong Wang ◽  
Zhiyuan Pan ◽  
Chongfeng Wu
Keyword(s):  
Realized Volatility ◽  
Time Varying ◽  
Volatility Models ◽  
Time Varying Parameter

Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility

2018 ◽  
Vol 19 (2) ◽  
pp. 209-236 ◽  
Author(s):  
D. Schneller ◽  
S. Heiden ◽  
A. Hamid ◽  
M. Heiden
Keyword(s):  
Investor Sentiment ◽  
Realized Volatility ◽  
International Markets ◽  
Return Volatility ◽  
Time Varying ◽  
Stock Market Volatility ◽  
Time Varying Parameter ◽  
Significant Difference ◽  
Out Of Sample ◽  
Local Stock

Abstract Using a new variable to measure investor sentiment we show that the sentiment of German and European investors matters for return volatility in local stock markets. A flexible empirical similarity (ES) approach is used to emulate the dynamics of the volatility process by a time-varying parameter that is created via the similarity of realized volatility and investor sentiment. Out-of-sample results show that the ES model produces significantly better volatility forecasts than various benchmark models for DAX and EUROSTOXX. Regarding other international markets no significant difference between the forecasts can be observed.

Bayesian changepoint and time-varying parameter learning in regime switching volatility models

2015 ◽  
Vol 40 ◽  
pp. 198-212 ◽  
Author(s):  
M. Serdar Yümlü ◽  
Fikret S. Gürgen ◽  
A. Taylan Cemgil ◽  
Nesrin Okay
Keyword(s):  
Regime Switching ◽  
Time Varying ◽  
Parameter Learning ◽  
Volatility Models ◽  
Time Varying Parameter
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