Forecasting Realized Volatility of International REITs:The Role of Realized Skewness and Realized Kurtosis †

AbstractWe forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates the role of the El Niño Southern Oscillation (ENSO), as captured by the Equatorial Southern Oscillation Index (EQSOI). Based on the period covering 1986 January to 2020 December and studying various rolling-estimation windows and forecast horizons, we find that the EQSOI has predictive value for oil-price RV particularly at forecast horizons from 2 to 4 years, and for rolling-estimation windows of length 4 to 6 years. We show that this result holds not only based on standard tests of out-of-sample predictability, but also under an asymmetric loss function.

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Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility

Journal of Futures Markets ◽

10.1002/fut.22241 ◽

2021 ◽

Author(s):

Dimos S. Kambouroudis ◽

David G. McMillan ◽

Katerina Tsakou

Keyword(s):

Implied Volatility ◽

Realized Volatility ◽

Leverage Effect

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UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES

Annals of Financial Economics ◽

10.1142/s2010495221500081 ◽

2021 ◽

pp. 2150008

Author(s):

SISA SHIBA ◽

RANGAN GUPTA

Keyword(s):

Infectious Diseases ◽

Realized Volatility ◽

Daily Newspaper ◽

Treasury Securities ◽

Long Run ◽

Short Period ◽

The Us ◽

Out Of Sample ◽

Portfolio Managers

This paper aims to examine the predictive power of the daily newspaper-based index uncertainty related to infectious diseases (EMVID) for the US Treasury securities’ realized volatility (RV) using the heterogonous autoregressive volatility (HAV-RV) model. In our out-of-sample forecast, we find strong significant evidence on the role of the EMVID index in forecasting the volatility of the US Treasury securities in the short-, medium- and long-run horizons except for the US 2-Year Treasury-Note (T-Note) Futures. Assessing the EMVID index role during the COVID-19 episode, we find that even in this short period, the index role in predicting the US Treasury securities is highly significant. These findings have important implications for portfolio managers and investors in times of unprecedented levels of uncertainty resulting from epidemic and pandemic diseases.

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Realized volatility transmission: The role of jumps and leverage effects

Economics Letters ◽

10.1016/j.econlet.2013.11.007 ◽

2014 ◽

Vol 122 (2) ◽

pp. 111-115 ◽

Cited By ~ 15

Author(s):

Michael Souček ◽

Neda Todorova

Keyword(s):

Realized Volatility ◽

Volatility Transmission

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