Title: Intraday realised volatility forecasting and announcements

Authors: Dimitrios I. Vortelinos; Konstantinos Gkillas

Addresses: Lincoln International Business School, University of Lincoln, UK ' Department of Business Administration, University of Patras, Greece

Abstract: This paper examines the importance of macroeconomic announcements, nonlinearity and combining, to realised volatility forecasting in equity-, energy- and commodities-mini-futures markets, by using intraday frequency data. We use three evaluation criteria to detect whether the predictions are more accurate on the out-of-sample announcement days or on the all out-of-sample days. The forecasting evaluation dataset starts from 14 October 2009 to 14 October 2011. The findings indicate that there are some announcements on which nonlinear and combined models forecast realised volatility more accurately in announcement days.

Keywords: forecasting; macro-economic announcements; nonlinearity; combining; mini-futures markets.

DOI: 10.1504/IJBAAF.2018.089426

International Journal of Banking, Accounting and Finance, 2018 Vol.9 No.1, pp.88 - 118

Accepted: 19 Jul 2017
Published online: 23 Jan 2018 *

Full-text access for editors Access for subscribers Purchase this article Comment on this article