Estimation of Stock Volatility sing Different Sample Frequency
Date Issued
2009
Date
2009
Author(s)
Liao, Wei-Chen
Abstract
Abstract The paper evaluates the performance of conditional variance models using high-frequency data of the TAIEX and attempts to determine the optimal sampling frequency for the best daily volatility forecast. In this paper, we use GARCH, T-GARCH and E-GARCH model to measure and also add volume and interaction term. Form the analysis, is found that sampling at 5 minutes gives the best forecast for volatility. Our analysis also suggests that volume and interaction term would give better estimates of volatility with lower forecast error estimate.
Subjects
high frequency data
volume
GARCH
TGARCH
EGARCH
Type
thesis
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