Time series forecasting of volatility using high frequency data
This study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, an...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7694 |
| _version_ | 1826112034546122752 |
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| author | Tan, Hai Kang Ernest, Vinod |
| author2 | Low, Buen Sin |
| author_facet | Low, Buen Sin Tan, Hai Kang Ernest, Vinod |
| author_sort | Tan, Hai Kang |
| collection | NTU |
| description | This study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, and intraday returns. |
| first_indexed | 2024-10-01T03:00:19Z |
| format | Thesis |
| id | ntu-10356/7694 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:00:19Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/76942024-01-12T10:10:22Z Time series forecasting of volatility using high frequency data Tan, Hai Kang Ernest, Vinod Low, Buen Sin Nanyang Business School DRNTU::Business::Finance This study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, and intraday returns. Master of Science (Financial Engineering) 2008-09-18T07:49:47Z 2008-09-18T07:49:47Z 2002 2002 Thesis http://hdl.handle.net/10356/7694 en Nanyang Technological University 30 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance Tan, Hai Kang Ernest, Vinod Time series forecasting of volatility using high frequency data |
| title | Time series forecasting of volatility using high frequency data |
| title_full | Time series forecasting of volatility using high frequency data |
| title_fullStr | Time series forecasting of volatility using high frequency data |
| title_full_unstemmed | Time series forecasting of volatility using high frequency data |
| title_short | Time series forecasting of volatility using high frequency data |
| title_sort | time series forecasting of volatility using high frequency data |
| topic | DRNTU::Business::Finance |
| url | http://hdl.handle.net/10356/7694 |
| work_keys_str_mv | AT tanhaikang timeseriesforecastingofvolatilityusinghighfrequencydata AT ernestvinod timeseriesforecastingofvolatilityusinghighfrequencydata |