Exponential GARCH Modeling with Realized Measures of Volatility

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dc.contributor.author HANSEN, Peter Reinhard
dc.contributor.author HUANG, Zhuo
dc.date.accessioned 2012-11-15T09:14:32Z
dc.date.available 2012-11-15T09:14:32Z
dc.date.issued 2012
dc.identifier.issn 1725-6704
dc.identifier.uri http://hdl.handle.net/1814/24454
dc.description.abstract We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to DJIA stocks and an exchange traded fund that tracks the S&P 500 index and find that specifications with multiple realized measures dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification. en
dc.format.mimetype application/pdf
dc.language.iso en en
dc.relation.ispartofseries EUI ECO en
dc.relation.ispartofseries 2012/26 en
dc.rights info:eu-repo/semantics/openAccess
dc.subject EGARCH en
dc.subject High Frequency Data en
dc.subject Realized Variance en
dc.subject Leverage Effect en
dc.subject C10 en
dc.subject C22 en
dc.subject C80 en
dc.title Exponential GARCH Modeling with Realized Measures of Volatility en
dc.type Working Paper en
dc.neeo.contributor HANSEN|Peter Reinhard|aut|EUI70016
dc.neeo.contributor HUANG|Zhuo|aut|
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