Prognoziranje realizirane volatilnosti: empirijski nalazi referentnog europskog dioničkog indeksa
DOI:
https://doi.org/10.15291/oec.5015Keywords:
realizirana volatilnost, prognostički modeli, referentni dionički indeksAbstract
Realizirana volatilnost temelji se na intradnevnim visokofrekventnim prinosima i standardna je mjera stvarne, premda nepoznate, integrirane volatilnosti financijske imovine. Iako je realizirana volatilnost determinirana ex-post, u posljednjem desetljeću razvijeno je nekoliko modela za njezino predviđanje, koji se razlikuju prema svojstvima koja nastoje obuhvatiti, kao što su duga memorija, heteroskedastičnost, cjenovni skokovi, asimetrična reakcija na pozitivne i negativne šokove te mikro strukturni šum, kao i prema tome modeliraju li realiziranu volatilnost izravno ili posredno. Uspješnost takvih modela još je uvijek nedovoljno istražena, osobito na europskim tržištima kapitala, za razliku od američkih tržišta koja su zastupljenija u dosadašnjim studijama. Stoga je cilj ovoga rada usporediti uspješnost odabranih modela u prognoziranju realizirane volatilnosti indeksa DAX, koji se smatra referentnim europskim dioničkim indeksom. U tu svrhu uspoređuju se HAR, MEM, HEAVY i realizirani GARCH modeli ne samo radi utvrđivanja modela s najvećom prognostičkom točnošću, već i radi ispitivanja ovisi li njihova učinkovitost o frekvenciji uzorkovanja i izboru realizirane mjere koja se prognozira. Time rad doprinosi literaturi u kojoj ne postoji konsenzus o najprikladnijim modelima za prognoziranje pojedinih realiziranih mjera volatilnosti. Empirijski nalazi pružaju implikacije za upravljanje rizicima i vrednovanje financijskih instrumenata na europskim tržištima kapitala, osobito u razdoblju neizvjesnosti obuhvaćenom analizom. Istraživanje se temelji na jednominutnim zaključnim cijenama indeksa DAX, dok se prognostička točnost vrednuje primjenom više kriterija.
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