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http://bura.brunel.ac.uk/handle/2438/27468
Title: | A three-dimensional asymmetric power HEAVY model |
Authors: | Yfanti, S Chortareas, G Karanasos, M Noikokyris, E |
Keywords: | asymmetries;HEAVY model;high-frequency data;power transformations;realized volatility;risk management |
Issue Date: | 9-Oct-2020 |
Publisher: | Wiley |
Citation: | Yfanti, S. et al. (2022) 'A three-dimensional asymmetric power HEAVY model', International Journal of Finance and Economics, 27 (3), pp. 2737 - 2761. doi: 10.1002/ijfe.2296. |
Abstract: | Copyright © 2020 The Authors. This article proposes the three-dimensional HEAVY system of daily, intra-daily, and range-based volatility equations. We augment the bivariate model with a third volatility metric, the Garman–Klass estimator, and enrich the trivariate system with power transformations and asymmetries. Most importantly, we derive the theoretical properties of the multivariate asymmetric power model and explore its finite-sample performance through a simulation experiment on the size and power properties of the diagnostic tests employed. Our empirical application shows that all three power transformed conditional variances are found to be significantly affected by the powers of squared returns, realized measure, and range-based volatility as well. We demonstrate that the augmentation of the HEAVY framework with the range-based volatility estimator, leverage and power effects improves remarkably its forecasting accuracy. Finally, our results reveal interesting insights for investments, market risk measurement, and policymaking. |
Description: | Data availability statement: The data that support the findings of this study are publicly available in the Oxford-Man Institute Realized Library at https://realized.oxford-man.ox.ac.uk/data/download. Supporting Information is available online at: https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2296#support-information-section . |
URI: | https://bura.brunel.ac.uk/handle/2438/27468 |
DOI: | https://doi.org/10.1002/ijfe.2296 |
ISSN: | 1076-9307 |
Other Identifiers: | ORCID iD: Stavroula Yfanti https://orcid.org/0000-0001-8071-916X ORCID iD: Menelaos Karanasos https://orcid.org/0000-0001-5442-3509 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © 2020 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. | 2.89 MB | Adobe PDF | View/Open |
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