Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

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Material Type: 文書・図像類
Title: Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
Author/Editor: Ishida, Isao
Toshiaki, Watanabe
Author Heading: Ishida, Isao
Toshiaki, Watanabe
Publication, Distribution, etc.: 日本経済国際共同センター
Publication Date: 2009-01
Publication Date (W3CDTF): 2009-01
Periodical title: Discussion paper series. CIRJE-F
No. or year of volume/issue: CIRJE-F-608
Volume: CIRJE-F-608
Text Language Code: eng
Subject Heading: classification: C22, C53, G15.
ARFIMA-GARCH
Volatility of realized volatility
Realized bipower variation
Jump detection
BDS test
Hong-Li test
High-frequency Nikkei 225 data
NDC: 335
Target Audience: 一般
Note (General): application/pdf
本文フィルはリンク先を参照のこと
Related Material (URI): URI
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf608ab.html
Periodical Title (NCID): AA11450569
https://ci.nii.ac.jp/ncid/AA11450569
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 東京大学 : 東京大学学術機関リポジトリ