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Predicting Stochastic Volatility For Extreme Fluctuations In High Frequency Time Series, Md Al Masum Bhuiyan

Open Access Theses & Dissertations

This work is devoted to the study of modeling high frequency time series including extreme fluctuations. As the high frequency data are collected at extremely fine scales, the fluctuations can capture the dynamics of data that evolve over time. A class of volatility models with time-varying parameters is used to forecast the volatility in a stationary condition at different lags. The modeling of stationary time series with consistent properties facilitates prediction with much certainty.

A large set of high frequency financial returns, closing prices of stock markets, high magnitudes of seismograms generated by the natural earthquakes, and the mining explosions …