Johnson & Johnson Realized-Variance Forecasts (Li, Liao & Quaedvlieg, 2022)
Source:R/llq2022_jnj-data.R
llq2022_jnj.RdDaily 5-minute realized variance of Johnson & Johnson (NYSE: JNJ) with one-step-ahead out-of-sample forecasts from six competing models, plus one-day-lagged VIX as a conditioning variable. JNJ is the stock featured in Figures 2 and 3 of Li, Liao and Quaedvlieg (2022).
Format
A data frame with the same columns as llq2022:
- date
Trading-day
Date.- rv
Realized variance (5-minute returns), percent-squared.
- AR1, AR22, AR22_Lasso, HAR, HARQ, ARFIMA
One-step-ahead forecasts of
rv.- vix_lag
VIX close from the previous trading day.
Source
Replication package of Li, Liao and Quaedvlieg (2022), https://zenodo.org/record/4884813. Realized variance series from Bollerslev, Patton and Quaedvlieg (2016). VIX from CBOE.
References
Bollerslev, T., Patton, A. J. and Quaedvlieg, R. (2016). Exploiting the errors: a simple approach for improved volatility forecasting. Journal of Econometrics, 192(1), 1-18.
Li, J., Liao, Z. and Quaedvlieg, R. (2022). Conditional Superior Predictive Ability. Review of Economic Studies, 89(2), 843-875.