The modeling of risk applying realized volatility metrics
This work is being undertaken with Professor M. McAleer of Erasmus University, the University of Tokyo and National Chung Hsing University, Taiwan, and Mr Marcel Scharth of VU University of Amsterdam. This work features use of SIRCA’s high frequency intra-day financial data to obtain measures of realized volatility which is then modeled in a time series context using heterogenous auto-regressive (HAR) time-series models.