Realized Volatility of Precious Metal Returns: HAR-RV

DOI

10.2991/icefs-17.2017.73How to use a DOI?

Keywords

Realized Volatility, Precious Metal Returns, HAR-RV, Value-at-Risk,

Abstract

This paper applies ultra-high frequency data particularly tick-by-tick data from three precious metals, namely gold, silver and platinum to estimate realized volatility, and model HAR-RV models evaluate Value-at-Risk. The tick-by-tick data from January 1, 2011 to December 8, 2016 covering 2, 070, 720 of tick data per year with the total days of 1, 439 days were used. The medRV is used to calculate the daily realized volatility and forwardly establish and compare HAR-RV in different functional form. The empirical results show that the minimum VaR and daily capital loss of precious metal are gold and follow by silver and platinum respectively.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Roengchai Tansuchat
PY  - 2017/01
DA  - 2017/01
TI  - Realized Volatility of Precious Metal Returns: HAR-RV
BT  - Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
PB  - Atlantis Press
SP  - 532
EP  - 536
SN  - 2352-5428
UR  - https://doi.org/10.2991/icefs-17.2017.73
DO  - 10.2991/icefs-17.2017.73
ID  - Tansuchat2017/01
ER  -