[ABE-L] Seminario INSPER de Ciencia de Dados

[Hedibert Lopes]

*Data Science*

Academic Seminar



December 02, 2021

10:00 a.m. de São Paulo, Brasil (UTC/GMT -03:00)

Zoom link: https://zoom.us/j/95660781314


*Title: *High-frequency realized stochastic volatility model

*Speaker:* Jouchi Nakajima <https://sites.google.com/site/jnakajimaweb/>

*University:* *Bank of Japan <https://www.boj.or.jp/en/index.htm/>*

*Abstrat: *A new high-frequency realized stochastic volatility model is
proposed. Apart from the standard daily-frequency stochastic volatility
model, the high-frequency stochastic volatility model is fit to intraday
returns by extensively incorporating intraday volatility patterns. The
daily realized volatility calculated using intraday returns is incorporated
into the high-frequency stochastic volatility model by considering the bias
in the daily realized volatility caused by microstructure noise. The
volatility of intraday returns is assumed to consist of the autoregressive
process, the seasonal component of the intraday volatility pattern, and the
announcement component responding to macroeconomic announcements. A
Bayesian method via Markov chain Monte Carlo is developed for the analysis
of the proposed model. The empirical analysis using the 5-minute returns of
E-mini S&P 500 futures provides evidence that our high-frequency realized
stochastic volatility model improves in-sample model fit and volatility
forecasting over the existing models.
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