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Title:Realized Beta GARCH: A Multivariate GARCH model with realized measures of volatility and covolatility Author(s):HANSEN, Peter Reinhard; LUNDE, Asger; VOEV, ValeriDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/28Abstract:We introduce a multivariate GARCH model that incorporates realized measures of
volatility and covolatility. The realized measures extract information about the current
level of volatility and covolatility from high-frequency ...
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, ...