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

• 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: 石田, 功; 渡部, 敏明
• Author Heading: 石田, 功; 渡部, 敏明; https://nrid.nii.ac.jp/nrid/1000090254135/
• Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
• Publication Date: 2009-02
• Publication Date (W3CDTF): 2009-02
• Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
• Text Language Code: eng
• Subject Heading: ARFIMA-GARCH; Volatility of realized volatility; Realized bipower variation; Jump detection; BDS test; Hong-Li test; High-frequency Nikkei 225 data
• Target Audience: 一般
• Note (General): This version: January 14, 2009; First draft: October 24, 2008; グローバルCOEプログラム = Global COE Program; [Revised version]
• Format (IMT): application/pdf
• Source: fulltext; https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/17083/gd08-032.pdf
• Access Restrictions: インターネット公開
• Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 32
• 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): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources

• Summary, etc.: In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Ni...