ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES
Nour Meddahi
Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ
Abstract:
This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR-SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as well as the eigenfunction stochastic volatility and the positive Ornstein- Uhlenbeck models. We also study the leverage effect case, the relationship between weak GARCH representation of returns and the ARMA representation of realized variances. Finally, various empirical implications of these ARMA representations are considered. We find that it is possible that some parameters of the ARMA representation are negative. Hence, the positiveness of the expected values of integrated or realized variances is not guaranteed. We also find that for some frequencies of observations, the continuous time model parameters may be weakly or not identified through the ARMA representation of realized variances.
Keywords: integrated variance; realized variance; ARMA representation; SR-SARV models; weak identification (search for similar items in EconPapers)
Pages: 27 pages
Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.cireqmontreal.com/wp-content/uploads/cahiers/20-2002-cah.pdf (application/pdf)
Related works:
Journal Article: ARMA representation of integrated and realized variances (2003)
Working Paper: ARMA Representation of Integrated and Realized Variances (2002)
Working Paper: ARMA Representation of Integrated and Realized Variances (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:20-2002
Access Statistics for this paper
More papers in Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ Contact information at EDIRC.
Bibliographic data for series maintained by Sharon BREWER ().