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Title:Exponential GARCH modeling with realized measures of volatility Author(s):HANSEN, Peter Reinhard; HUANG, ZhuoDate:2016Citation:
- Journal of business & economic statistics, 2016, Vol. 34, No. 2, pp. 269-287
Type:ArticleAbstract:We introduce the realized exponential GARCH model that can use multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, ...
Title:Exponential GARCH Modeling with Realized Measures of Volatility Author(s):HANSEN, Peter Reinhard; HUANG, ZhuoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/26Abstract: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, ...