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Article

Modeling Realized Variance with Realized Quarticity

Business School, Dublin City University, Dublin 9, D09 Dublin, Ireland
Academic Editor: Magda Sofia Valério Monteiro
Stats 2022, 5(3), 856-880; https://doi.org/10.3390/stats5030050
Received: 11 August 2022 / Revised: 2 September 2022 / Accepted: 5 September 2022 / Published: 7 September 2022
(This article belongs to the Special Issue Modern Time Series Analysis)
This paper proposes a model for realized variance that exploits information in realized quarticity. The realized variance and quarticity measures are both highly persistent and highly correlated with each other. The proposed model incorporates information from the observed realized quarticity process via autoregressive conditional variance dynamics. It exploits conditional dependence in higher order (fourth) moments in analogy to the class of GARCH models exploit conditional dependence in second moments. View Full-Text
Keywords: realized variance; realized quarticity; volatility of volatility realized variance; realized quarticity; volatility of volatility
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MDPI and ACS Style

Kawakatsu, H. Modeling Realized Variance with Realized Quarticity. Stats 2022, 5, 856-880. https://doi.org/10.3390/stats5030050

AMA Style

Kawakatsu H. Modeling Realized Variance with Realized Quarticity. Stats. 2022; 5(3):856-880. https://doi.org/10.3390/stats5030050

Chicago/Turabian Style

Kawakatsu, Hiroyuki. 2022. "Modeling Realized Variance with Realized Quarticity" Stats 5, no. 3: 856-880. https://doi.org/10.3390/stats5030050

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