• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Admissions
    • Facilities
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
    • Summer School
      • Crash Course in Experimental Economics
      • Behavioral Macro and Complexity
      • Introduction in Genome-Wide Data Analysis
      • Econometric Methods for Forecasting and Data Science
  • Times

02-068/4 - Stock Index Volatility Forecasting with High Frequency Data


  • Authors
    Eugenie Hol, University of Birmingham; Siem Jan Koopman, Free University Amsterdam
  • Publication date
    June 28, 2002
  • Keywords
    ARFIMA; Financial market volatility; GARCH; Realised volatility; Stochastic volatility; Stock index returns; Unobserved ARMA component
  • JEL
    C22; C53; G15