Title :
Empirical analysis of corrected realized volatility measures based on China´s stock market
Author :
Li, Jian ; Li, Handong
Author_Institution :
Sch. of Manage., Beijing Normal Univ., Beijing, China
Abstract :
In this paper, we analyze the distribution of the corrected realized volatility and the corrected realized bipower variation by using the high-frequency data of China´s Shanghai stock market index, then we make an in-sample forecast and compare them with the uncorrected volatility measure to discuss which are more effective. Our results suggest that the corrected realized volatility measures are not only more stable in distribution but also more accurate in forecasting than the uncorrected ones.
Keywords :
stock markets; China; Shanghai stock market index; bipower variation; corrected realized volatility measures; empirical analysis; high-frequency data; Econometrics; Frequency measurement; Microstructure; Predictive models; Stochastic processes; Stock markets; correction factor; realized bipower variation; realized volatility; volatility forecast;
Conference_Titel :
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-61284-108-3
DOI :
10.1109/ICBMEI.2011.5921181
