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Time-Varying Parameter Realized Volatility Models
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DOI：10.1002/for.2454.png)
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In this paper, we introduce the functional coefficient to heterogeneous autoregressive realized volatility (HAR-RV) models to make the parameters change over time. A nonparametric statistic is developed to perform a specification test. The simulation results show that our test displays reliable size and good power. Using the proposed test, we find a significant time variation property of coefficients to the HAR-RV models. Time-varying parameter (TVP) models can significantly outperform their constant-coefficient counterparts for longer forecasting horizons. The predictive ability of TVP models can be improved by accounting for VIX information. Copyright (C) 2016 John Wiley & Sons, Ltd.
Keyword:
realized volatility
time-varying parameter
heterogeneous autoregressive realized volatility model
specification test
forecasting
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