Financial market volatility: An overview of the literature and an introduction of a new approach based on functional data analysis

The first AJRC Seminar Series for Semester 2 will be held on Tuesday 10 October 2017 from 12.00PM to 1.00PM in Seminar Room 3, The Crawford School of Public Policy, J.G. Crawford Building no. 132, Lennox Crossing, Acton. A light lunch will be provided.

Speaker: Australia-Japan Research Centre (AJRC) Visiting Fellow Professor Isao Ishida

Title: Financial market volatility: An overview of the literature and an introduction of a new approach based on functional data analysis.

Blurb: Professor Ishida will present a new approach for modelling and forecasting the volatility of equity indices.The first part of the talk will overview financial market volatility literature, summarising the stylised facts about volatility, various methods of volatility measurements based on market data, as well as applications of such measurements. In the second part of the talk, Ishida presents a new approach for modelling and forecasting the daily volatility and intraday spot volatility paths of equity indices via the functional autoregressive (FAR) model. The FAR model is a major tool in functional data analysis and a recently developed branch of statistics, where observations are functions (rather than numbers or low-dimensional vectors) such as intraday trajectories (functions of the time of the day) followed by the spot (instantaneous) volatility of an asset. The FAR model can simultaneously model both the day-to-day changes in daily averages of the volatility and intraday patterns in the spot volatility (for example, intraday spot equity volatility paths tend to exhibit a U-shaped pattern, high near the opening and closing and low in the middle of a trading session). The performance of the FAR model in forecasting daily spot volatility paths is empirically investigated using high-frequency intraday data of S&P 500 and Nikkei 225 equity market indices.

About the speaker: Professor Isao Ishida received his PhD in Economics from the University of California, San Diego in 2004. He has been Professor in the Faculty of Economics, Konan University in Kobe, Japan since 2013. His areas of research specialisation are empirical finance and financial econometrics. Recently, he has been working on several research projects concerned with financial market volatility.

For more details and to register, please see the event page.

The AJRC Seminar Series is a forum for researchers to engage on issues relevant to Japan. Topics include, but are not limited to, economics, international relations, politics, and national security. Seminars are typically very frank and early stage studies are most welcome.

Updated:  27 November 2018/Responsible Officer:  JI Management Group/Page Contact:  Japan Institute