Realised var - PDF document

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" $ & 20 30 100 200 1 2 Day 1 Realised var Upper 97.5% Lower 2.5% 10 20 30 100 200 1 2 Day 2 Realised var Upper 97.5% Lower 2.5% 10 20 30 100 200 1 2 3 Day 3 Realised var Upper 97.5% Lower 2.5% 10 20 30 100 200 1 2 3 Day 4 Realised var Upper 97.5% Lower 2.5% 10 20 30 100 200 1 2 Day 5 Realised var Upper 97.5% Lower 2.5% 10 20 30 100 200 1 2 Day 6 Realised var Upper 97.5% Lower 2.5% 10 20 30 100 200 1 2 Day 7 Realised var Upper 97.5% Lower 2.5% 10 20 30 100 200 1 2 Day 8 Realised var Upper 97.5% Lower 2.5% 10 20 30 100 200 1 2 Day 9 Realised var Upper 97.5% Lower 2.5% /,- ?% 3?? 9 F 5 E)G $3443 9 - % % 5 E)G $344,% "2 % 0 " " I ) " @ ) 1%5 ) %7 %J344, % EF " E E% / 5 E)G $3443 0 K.$7 L2 7= ,7) �,?@ D4G ��,@& 3?? 3??%,HH%�@%B3%H?%D@%D3%3H%,?%,@%,3%�%?%@%H%D%3%,&/, % %�IM @ � + %63?? % $ H &$ 3 " % % ! ! 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F% O &9" % " 9 ) % ? %8399 8383,I # - C O O 44,B 0 % 99 O ",@,B & ,@,B " & # % & & )5 $% " %5 E)G $344,2 %+% ��,@ +;" 4%,?4 5 5 % " F 5 )$ J + �,?B%+ ��,D ��,B& & + F 943/ JO 0 C 3 G % " % E%F % % ) 1 % & $ - ' ' / 3 2 15 ��,?645 E)G $344,5 ��,B0 & , % " 415 ��,?1 . % F 1 " # & 5 E)G $3443 " - +!,-*./ G & % 1 % % 5 E)G $344,- 0,-*./% 34 % % - ,/ ,/ * !12 ! ,!/ 2 ! ,/ % % % , /%%!%!1! %1+ ! ! ) ! + ,.333/ "! % % %! !, /%!1 !%4 & ) &5 E)G $344, = C " 3, ) 34 ! 9 . ,3$ D% & C % 433& % 9 4/ #3D % &% % " 3D ) 33 '! * 56 , * /+ ! C 64+*2 ! 70) 8*9 ' ,.33- / % + % !% : 661 #"48 ,.;/7%! %1!,../% 1+ !% " # ! /3 6,HH% ,4 % "$ ,+ I4 5 10 15 20 25 30 35 40 45 50 1 2 3 4 5 6 Daily RV and its 95% confidence intervals /3- %#3 % % +!!-== ,@ �IM ) @ �IM % & % � "! ! !% ! /% $ % # F ) 9 % " %15 ��,?+ % 20 30 40 50 60 70 80 90 100 200 300 0.45 0.46 0.47 0.48 0.49 0.50 0.51 0.52 0.53 0.54 Average RV over the sample, together with standard errors Realised var Upper 97.5% Lower 2.5% /D- , / !% ,B E& 1 2 344,5% % 3444 E C *0 1%5 %7 %J3444G " :, 43 D, /D 3HH?" " 3H $ O % + % I4" # 0 ) + $ $ " % $��,?%$��,4$ ��,? & 7 P & 1% 3@=�,?@ D,7 344, 7 P " & $��,4 + %7 P " F % E "% 0 E D4P �,,H D,7 �,,H &%2 ,1�,,H # "B,H3 % IHC �,,H& % �,,H " 5 E)G $3443 5 % ) /H5 1 7 % 5 44HL,,4% 4DD %; �,,H �IM /I ) ) @ ; + % "& �,?B &�,D4% % 1914.5 1915.0 1915.5 55 60 65 70 75 80 85 90 Stochastic interpolation of DJ Index prices /H-) ! ) , / &' / " ;" $ ,4 0 1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 0.1 0.2 0.3 0.4 0.5 0.6 95% confidence intervals for annual realised volatility /I-! %?4! , &/# $&" &%% " (" %)0 5 E)G S C1/%7$ $C %=($ %7G / G $S .TSC U )) %V &#x;&#x;&#x-283;&#x.700;4443D?D1 0" 7 344, = =7 0 2 0 S" 5 ) 1% 5 %/7 %2 G = / % " 1%25 &#x-0.1;&#x-0.1;,?1-% 4 @ ;%&#x-0.1;??IN4I1%2%5 %/A7 3443( ) &R1)$ J(+: &% @1 -G + / 1%2%5 %/A7 %+344, ?! % @A-%HDNB@1%2%5 %/A7 %(J34442 O &-;1%2%5 %/A7 %(J344, " ?! % ' A%H3NII1%2%5 %/A7 %(J344,= O . -7 7.1 %2 344, ) - ) % ?! %)! @' -/ 5%T&#x-0.1;&#x-0.1;,,1 ?! % @.35%A%P %2C 34445 = S -E ) ) . -2$ 5%. C 5 E)G %0&#x-0.1;&#x-0.1;,?( 2 ' .%H,N@?5 E)G %0G$344,+ ") *. %G# C % 5 E)G %0G$344,G )20N. ) ?! % ' '')A;%,@BN3H,5 E)G %0G$344, . -G# C %0" 5 E)G %0G$3443 ) - % .) -G# C %0" 5 E)G %0G$3443 ?! % ' '')A=/ C%(%+2 %75=%=R 344,$ JQ . - +$ $ 5%= .C%G = E&#x-0.1;&#x-0.1;&#x-0.1;, &-.%&#x-0.1;IINIC%5PG( &#x-0.1;&#x-0.1;,? O ?! % @;B%,3IN,I4C %/ &#x-0.1;&#x-0.1;,?J ) ) C%&#x-0.1;3,ND3D7 %T%7 %=T %PK &#x-35;.70;&#x-35;.70;&#x-35;.70;,1 ?! % A%�.30;ND37 %P1344,71 7 D7 1( ;3J - C ( %344,1 O JQ &05 E)G %= %$ (E+ * %&#x;&#x%000;D,NDDB5 -5W2 %1C+% &#x-0.1;&#x-0.1;,@$ &C 2$= ' %&#x;&#x%000;&#x;&#x%000;,,N,,1 -G )+ + %$J&#x;&#x%000;&#x;&#x%000;,D1 ) % ) % '!A%D3BNDHD+ %$7%1 %+0 34441 . -= &%. 0" + %P1 �,?B ?! % =.%3?,ND44P %P1G$�,?B5+%' ($) -=%75$&#x-0.2;&#x-0.2;,42 ?! %)!A;%I,,NI3H=%G34431 O ?! %@/ = %C&#x-0.2;,?40 " -1" ?! % @C%D3DND@,( %PJ$ &#x-0.2;,?@ ; @ BA%,,3HN,,H,( %(&#x-0.2;&#x-0.2;,4' 4 8 @"! 9 GR -$) %&#x-37;.50;&#x-37;.50;,B &7=TT/ @ @ + %33DNB?C -C .( %=(P+$ &#x;&#x%000;&#x;&#x%000;,?7 )?! % @.%D3DNH?$%2 &#x;&#x%000;&#x;&#x%000;,? *?! % ==%,,,IN,,ID$%2 &#x;&#x%000;&#x;&#x%000;,4&" .$ ,?43 &#x;&#x%000;,?B?! %)!A;$%2 &#x;&#x%000;&#x;&#x%000;,?$ -)&#x;&#x%000;&* ( ' -%@IN,,H$%1G&#x;&#x%000;&#x;&#x%000;&#x;&#x%000;,@ %' +$) - $ %$PAA&#x;&#x%000;&#x;&#x%000;,B " ?! %@ =%D,BNDH4 %=344, )JQ =($ ) 344,)DB%7 = $%1.

Realised var - PDF document

Realised var - PPT Presentation

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