Recursive Estimation of Volatility for High Frequency Financial Data
The paper deals with recursive estimation of financial time series with conditional volatility. It surveys the recursive methodology suggested in Hendrych and Cipra (2018) and adjusts it for various alternatives of GARCH models which are usual in financial practice. Such a recursive approach seems t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Czech Statistical Office
2021-09-01
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| Series: | Statistika: Statistics and Economy Journal |
| Subjects: | |
| Online Access: | https://www.czso.cz/documents/10180/143550799/32019721q3_296-311_vejmelka_analyses.pdf/5d1f35eb-41db-472a-9b50-e02c94b811fa?version=1.1 |
| Summary: | The paper deals with recursive estimation of financial time series with conditional volatility. It surveys the recursive methodology suggested in Hendrych and Cipra (2018) and adjusts it for various alternatives of GARCH models which are usual in financial practice. Such a recursive approach seems to be suitable for the dynamic estimation with high-frequency data. The paper verifies the applicability of recursive algorithms of particular models to high-frequency data from the Czech environment, particularly in the context of risk prediction. |
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| ISSN: | 0322-788X 1804-8765 |