IBM Volatility Forecasts and Realized-Variance Proxies (Hansen & Lunde, 2005)

Daily IBM data from the replication archive of Hansen and Lunde (2005). Contains 254 trading days (1999-06-01 to 2000-05-31), 8 realized-variance proxies of varying quality, and 330 one-step-ahead conditional variance forecasts produced by GARCH-family models. The benchmark GARCH(1,1) with constant mean and Gaussian errors is identified by the index garch11_idx.

Usage

hl2005

Format

A list with the following components:

date: Trading-day Date vector (length 254).
rv: Numeric vector (length 254); the 5-minute linear-interpolation realized-variance proxy. The paper's headline series.
rv_proxies: \(254 \times 8\) matrix of alternative RV proxies: sq_ccr (squared close-to-close returns), spline_50_3min, spline_250_2min, fourier_M85, linear_5min, prevtick_5min, linear_1min, prevtick_1min.
forecasts: \(254 \times 330\) matrix of one-step-ahead conditional variance forecasts. Columns index a base GARCH specification (55 specs: LGARCH, IGARCH, TS-GARCH, A-GARCH, NA-GARCH, V-GARCH, THR-GARCH, GJR-GARCH, LOG-GARCH, EGARCH, NGARCH, A-PARCH, GQ-ARCH, H-GARCH, AUG-GARCH) crossed with mean-equation and error-distribution combinations (zero/const/ GARCH-in-mean \(\times\) Gaussian/t-distributed).
garch11_idx: Integer (= 57); the column of forecasts corresponding to GARCH(1,1) with constant mean and Gaussian errors, used as the benchmark in the paper.

Source

Journal of Applied Econometrics data archive for Hansen and Lunde (2005), volume 20, issue 7.

References

Hansen, P. R. and Lunde, A. (2005). A forecast comparison of volatility models: does anything beat a GARCH(1,1)? Journal of Applied Econometrics, 20(7), 873-889.