Modeling CAC40 volatility using ultra-high frequency data

Keyphrases

• ARFIMA 66%
• At-risk 16%
• CAC40 100%
• Competing Models 16%
• Day-ahead Forecasting 16%
• Evaluation Model 16%
• Heterogeneous Autoregressive Model 33%
• Mean Squared Error 16%
• Model Predictability 16%
• Moving Average Model 16%
• Optimal Sample Size 16%
• Realized Volatility 100%
• Realized Volatility Forecasting 16%
• Superior Predictive Ability Test 16%
• Ultra-high-frequency Data 100%
• Volatility 100%
• Volatility Signature Plot 16%

Mathematics

• Autoregressive Model 66%
• High-Frequency Data 100%
• Moving Average 100%
• Moving Average Model 33%
• Predictive Ability 33%
• Squared Error 33%
• Value at Risk 33%