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Forecasting High-Frequency Volatility Shocks

An Analytical Real-Time Monitoring System

  • Book
  • © 2016

Overview

Authors:
  1. Holger Kömm

    1. Wirtschaftswissenschaftliche Fakultät, Kath. Universität Eichstätt-Ingolstadt, Ingolstadt, Germany

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Table of contents (9 chapters)

  1. Front Matter

    Pages I-XXIX
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  2. Introduction

    • Holger Kömm
    Pages 1-9

  3. General Framework

    • Holger Kömm
    Pages 11-28

  4. Integrated Volatility

    • Holger Kömm
    Pages 29-46

  5. Zero-inflated Data Generation Processes

    • Holger Kömm
    Pages 47-64

  6. Volatility Shock Causing Incidents

    • Holger Kömm
    Pages 65-86

  7. Algorithmic Text Forecasting

    • Holger Kömm
    Pages 87-97

  8. Benchmarking

    • Holger Kömm
    Pages 99-121

  9. Monitoring

    • Holger Kömm
    Pages 123-146

  10. Conclusion

    • Holger Kömm
    Pages 147-153

  11. Back Matter

    Pages 155-171
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Keywords

About this book

This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.

Authors and Affiliations

  • Wirtschaftswissenschaftliche Fakultät, Kath. Universität Eichstätt-Ingolstadt, Ingolstadt, Germany

    Holger Kömm

About the author

Dr. Holger Kömm is research associate at the chair of statistics and quantitative methods in the economics & business department of the Catholic University Eichstätt-Ingolstadt. 

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