Global Change challenges are now systematically recognized and tackled in a growingly coordinated manner by intergovernmental organizations such as the United Nations. Heterogeneous observing networks provide founded data sources to assess Earth environmental status take sound decisions achieve sustainable development. WMO Hydrological Observing System (WHOS) allows discover access historical n...

This paper addresses the following issue: given a set of daily observations on an asset (historical opening, closing, high and low prices), how should one go about estimating the asset’s volatility? We use high-frequency data on very liquid assets to construct daily realized volatility series, which enables us to treat volatility as observed rather than latent. We then compare the empirical per...

High frequency financial data modelling has become one of the important research areas in the field of financial econometrics. However, the possible structural break in volatile financial time series often trigger inconsistency issue in volatility estimation. In this study, we propose a structural break heavy-tailed heterogeneous autoregressive (HAR) volatility econometric model with the enhanc...

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to DJIA stocks and an exchange traded fund that tracks the S...

This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of he...

We perform return interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between successive realized volatilities above a certain threshold q are carefully investigated. In comparison with ...

This paper introduces a conditional extreme value volatility estimator (EVT) based on highfrequency returns. The relative performance of the EVT is compared with the discrete-time GARCH and implied volatility models for 1-day and 20-day-ahead forecasts of realized volatility. This is also a first attempt towards detecting any time-series variation in extreme value distributions using high-frequ...

Abstract We forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates role El Niño Southern Oscillation (ENSO), as captured by Equatorial Index (EQSOI). Based period covering 1986 January to 2020 December and studying various rolling-estimation windows horizons, we find EQSOI has predictive value for oil-price RV...