• Corpus ID: 219177524

The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets

@article{Maki2020TheIO,
  title={The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets},
  author={Daiki Maki and Yasushi Ota},
  journal={arXiv: Statistical Finance},
  year={2020}
}
This study investigates the impacts of asymmetry on the modeling and forecasting of realized volatility in the Japanese futures and spot stock markets. We employ heterogeneous autoregressive (HAR) models allowing for three types of asymmetry: positive and negative realized semivariance (RSV), asymmetric jumps, and leverage effects. The estimation results show that leverage effects clearly influence the modeling of realized volatility models. Leverage effects exist for both the spot and futures… 

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