Date: 2012
Type: Working Paper
Exponential GARCH Modeling with Realized Measures of Volatility
Working Paper, EUI ECO, 2012/26
HANSEN, Peter Reinhard, HUANG, Zhuo, Exponential GARCH Modeling with Realized Measures of Volatility, EUI ECO, 2012/26 - https://hdl.handle.net/1814/24454
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/24454
ISSN: 1725-6704
Series/Number: EUI ECO; 2012/26
Keyword(s): EGARCH High Frequency Data Realized Variance Leverage Effect C10 C22 C80