Open Access
Realized Beta GARCH: A Multivariate GARCH model with realized measures of volatility and covolatility
Loading...
License
Access Rights
Cadmus Permanent Link
Full-text via DOI
ISBN
ISSN
1725-6704
Issue Date
Type of Publication
LC Subject Heading
Other Topic(s)
EUI Research Cluster(s)
Initial version
Published version
Succeeding version
Preceding version
Published version part
Earlier different version
Initial format
Citation
EUI ECO; 2012/28
Cite
HANSEN, Peter Reinhard, LUNDE, Asger, VOEV, Valeri, Realized Beta GARCH: A Multivariate GARCH model with realized measures of volatility and covolatility, EUI ECO, 2012/28 - https://hdl.handle.net/1814/25014
Abstract
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 data, which is particularly useful for
the modeling of return volatility during periods with rapid changes in volatility and covolatility.
When applied to market returns in conjunction with returns on an individual
asset, the model yields a dynamic model of the conditional regression coefficient that is
known as the beta. We apply the model to a large set of assets and find the conditional
betas to be far more variable than is usually found with rolling-window regressions based exclusively on daily returns. In the empirical part of the paper we examine the cross-sectional
as well as the time variation of the conditional beta series during the financial crises.