Forecasting realized volatility : New evidence from time-varying jumps in VIX

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annif.suggestionsforecasts|volatility (societal properties)|security market|econometrics|shares|pandemics|economic forecasts|financial markets|markets (systems)|economic crises|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p3297|http://www.yso.fi/onto/yso/p10771|http://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p13480|http://www.yso.fi/onto/yso/p11398|http://www.yso.fi/onto/yso/p10121|http://www.yso.fi/onto/yso/p16768|http://www.yso.fi/onto/yso/p7536|http://www.yso.fi/onto/yso/p1865|http://www.yso.fi/onto/yso/p6172en
dc.contributor.authorDutta, Anupam
dc.contributor.authorDas, Debojyoti
dc.contributor.departmentDigital Economy-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.orcidhttps://orcid.org/0000-0003-4971-3258-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2022-09-15T10:17:12Z
dc.date.accessioned2025-06-25T13:37:15Z
dc.date.available2022-09-15T10:17:12Z
dc.date.issued2022-08-04
dc.description.abstractGiven that jumps in the implied volatility index (VIX) lead to rapid changes in the level of volatility, they may contain significant predictive information for the realized variance (RV) of stock returns. Against this backdrop, the present study proposes to extend the heterogeneous autoregressive (HAR) model using the information content of time‐varying jumps occurring in VIX. We find that jumps in VIX have positive impacts on the RV of S&P 500 index and that the proposed HAR‐RV approach generates more accurate volatility forecasts than do the existing HAR‐RV type models. Importantly, these results hold for short‐, medium‐, and long‐term volatility components.-
dc.description.notification© 2022 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC. 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.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent25-
dc.identifier.olddbid16828
dc.identifier.oldhandle10024/14564
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/2422
dc.identifier.urnURN:NBN:fi-fe2022091559168-
dc.language.isoeng-
dc.publisherWiley-
dc.relation.doi10.1002/fut.22372-
dc.relation.ispartofjournalJournal of Futures Markets-
dc.relation.issn0270-7314-
dc.relation.issn1096-9934-
dc.relation.urlhttps://doi.org/10.1002/fut.22372-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:000835810900001-
dc.source.identifierScopus:85135507061-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/14564
dc.subjectHAR model-
dc.subjectjump intensity-
dc.subjectjump size-
dc.subjectVIX-
dc.subjectvolatility forecasts-
dc.subjectvolatility jumps-
dc.subject.disciplinefi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.titleForecasting realized volatility : New evidence from time-varying jumps in VIX-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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