Realized Volatility Versus GARCH and Stochastic Volatility Models. The Evidence from the WIG20 Index and the EUR/PLN Foreign Exchange Market

Barbara Będowska-Sójka; Agata Kliber

doi:https://doi.org/10.59139/ps.2010.04.8

Barbara Będowska-Sójka Poznań University of Economics , Agata Kliber Poznań University of Economics Przegląd Statystyczny. Statistical Review, vol. 57, 2010, 4, pages: 105-127 Published online: 31 December 2010 DOI https://doi.org/10.59139/ps.2010.04.8

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ARTICLE

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ABSTRACT

The aim of the article is to compare the estimates of the volatility obtained from the parametric models: the GARCH and the SV with the estimates based upon the Realized Volatility approach, whereas the estimates from the RV are obtained from the data of different frequencies. The data sample consists of the WIG20 index and the EUR/PLN exchange rate and covers the hectic crisis period. Hence, the presented results can be viewed as an extension of the results of the studies presented up to date.

KEYWORDS

realizded volatility, SV, GARCH, volatility forecasting

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