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Wiley InterScience | ||||||||||
  Japanese Economic ReviewVolume 58 Issue 1, Pages 1 - 23 Published Online: 8 Feb 2007 Journal compilation © 2009 Japanese Economic Association Published on behalf of the Japanese Economic Association
Abstract | References | Full Text: PDF (Size: 166K) | Related Articles | Citation Tracking  VOLATILITY MODELS* * This research is supported by the COE21 at the faculty of economics, Kyoto University. I would like to express my thanks to an anonymous referee for his numerous comments and Michael McAleer of the University of Western Australia for his support while he was visiting Kyoto University in January–February 2006. Copyright © 2007 The Author Journal compilation © 2007 Japanese Economic Association KEYWORDS C22 • C23 ABSTRACTModels for estimating the volatility of financial assets are reviewed in this paper. The volatility can be estimated by the univariate GARCH family of models, or stochastic volatility models. These univariate models are developed intomultivariate models. Finally, the search for an adequate framework for the estimation has led to the analysis of high frequency intraday data. The variance over a fixed interval can be estimated accurately as the sum of squared realizations, provided the data are available at sufficiently high sampling frequencies. The future of this new area is wide open for theoretical developments and for applied studies. Final version accepted 25 October 2006. | 
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