"Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model"

In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data. While the homoskedastic ARFIMA model performs excellently in predicting the Nikkei 225 realized volatility time series and their square-root and log transformations, the residuals of the model suggest presence of strong conditional heteroskedasticity similar to the finding of Corsi et al. (2007) for the realized S&P 500 futures volatility. An ARFIMA model augmented by a GARCH(1,1) specification for the error term largely captures this and substantially improves the fit to the data. In a multi-day forecasting setting, we also find some evidence of predictable time variation in the volatility of the Nikkei 225 volatility captured by the ARFIMA-GARCH model.

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data. While the homoskedastic ARFIMA model performs excellently in predicting the Nikkei 225 realized volatility time series and their square-root and log transformations, the residuals of the model suggest presence of strong conditional heteroskedasticity similar to the finding of Corsi et al. (2007) for the realized S&P 500 futures volatility. An ARFIMA model augmented by a GARCH(1,1) specification for the error term largely captures this and substantially improves the fit to the data. In a multi-day forecasting setting, we also find some evidence of predictable time variation in the volatility of the Nikkei 225 volatility captured by the ARFIMA-GARCH model.ARFIMA-GARCH, Volatility of realized volatility, Realized bipower variation, Jump detection, BDS test, Hong-Li test, High-frequency Nikkei 225 data

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data. While the homoskedastic ARFIMA model performs excellently in predicting the Nikkei 225 realized volatility time series and their square-root and log transformations, the residuals of the model suggest presence of strong conditional heteroskedasticity similar to the finding of Corsi et al. (2007) for the realized S&P 500 futures volatility. An ARFIMA model augmented by a GARCH(1,1) specifi-cation for the error term largely captures this and substantially improves the fit to the data. In a multi-day forecasting setting, we also find some evidence of predictable time variation in the volatility of the Nikkei 225 volatility captured by the ARFIMA-GARCH model.

A universal nonlinear relation among boundary states in closed string field theory

We show that the boundary states satisfy a nonlinear relation (the idempotency equation) with respect to the star product of closed string field theory. This relation is universal in the sense that various D-branes, including the infinitesimally deformed ones, satisfy the same equation, including the coefficient. This paper generalizes our analysis (hep-th/0306189) in the following senses. (1) We present a background-independent formulation based on conformal field theory. It illuminates the geometric nature of the relation and allows us to more systematically analyze the variations around the D-brane background. (2) We show that the Witten-type star product satisfies a similar relation but with a more divergent coefficient. (3) We determine the coefficient of the relation analytically. The result shows that the alpha parameter can be formally factored out, and the relation becomes universal. We present a conjecture on vacuum theory based on this computation.Comment: 35 pages, 7 figures, references added, v3:PTPTeX, typos correcte

Magnetic order in pyrochlore iridate Nd2_2Ir2_2O7_7 probed by muon spin relaxation

Muon-spin relaxation results on the pyrochlore iridate Nd$_2$Ir$_2$O$_7$ are reported. Spontaneous coherent muon-spin precession below the metal-insulator transition (MIT) temperature of about 33 K is observed, indicating the appearance of a long-ranged magnetic ordering of Ir$^{4+}$ moments. With further decrease in temperature, the internal field at the muon site increases again below about 9 K. The second increase of internal field suggests the ordering of Nd$^{3+}$ moments, which is consistent with a previous neutron experiment. Our results suggest that the MIT and magnetic ordering of Ir$^{4+}$ moments have a close relationship and that the large spin-orbit coupling of Ir 5\textit{d} electrons plays a key role for both MIT and the mechanism of the magnetic ordering in pyrochlore iridates in the insulting ground state.Comment: 5 pages, 3 figures. Accepted by Physical Review B (rapid communications

Static magnetic moments revealed by muon spin relaxation and thermodynamic measurements in quantum spin ice Yb2_2Ti2_2O7_7

We present muon spin relaxation ($\mu$SR) and specific-heat versus temperature $C(T)$ measurements on polycrystalline and single-crystal samples of the pyrochlore magnet Yb$_2$Ti$_2$O$_7$. $C(T)$ exhibits a sharp peak at a $T_\mathrm{C}$ of 0.21 and 0.26~K for the single-crystal and polycrystalline samples respectively. For both samples, the magnetic entropy released between 50~mK and 30~K amounts to $R\ln2$ per Yb. At temperatures below $T_\mathrm{C}$ we observe a steep drop in the asymmetry of the zero-field $\mu$SR time spectra at short time scales, as well as a decoupling of the muon spins from the internal field in longitudinal magnetic fields of $\leq0.25$~T for both the polycrystalline and single-crystal samples. These muon data are indicative of static magnetic moments. Our results are consistent with the onset of long-range magnetic order in both forms of Yb$_2$Ti$_2$O$_7$.Comment: 6 pages, 4 figures, accepted to PR

Na-ion dynamics in Quasi-1D compound NaV2O4

We have used the pulsed muon source at ISIS to study high-temperature Na-ion dynamics in the quasi-one-dimensional (Q1D) metallic antiferromagnet NaV2O4. By performing systematic zero-field and longitudinal-field measurements as a function of temperature we clearly distinguish that the hopping rate increases exponentially above Tdiff=250 K. The data is well fitted to an Arrhenius type equation typical for a diffusion process, showing that the Na-ions starts to be mobile above Tdiff . Such results makes this compound very interesting for the tuning of Q1D magnetism using atomic-scale ion-texturing through the periodic potential from ordered Na-vacancies. Further, it also opens the door to possible use of NaV2O4 and related compounds in energy related applications.Comment: Accepted for publication in Journal of Physics: Conference Series (2014