Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility
全天候高频波动率的贝叶斯建模与预测
This article estimates models of high-frequency index futures returns using “around-the-clock” 5-min returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities, seasonal components capturing time of the day patterns, correlations between return and volatility shocks, and announcement effects. We develop an integrated MCMC approach to estimate interday and intraday parameters and states using…