dc.contributor.author | HANSEN, Peter Reinhard | |
dc.contributor.author | LUNDE, Asger | |
dc.contributor.author | VOEV, Valeri | |
dc.date.accessioned | 2012-12-21T14:47:04Z | |
dc.date.available | 2012-12-21T14:47:04Z | |
dc.date.issued | 2012 | |
dc.identifier.issn | 1725-6704 | |
dc.identifier.uri | https://hdl.handle.net/1814/25014 | |
dc.description.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. | en |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.relation.ispartofseries | EUI ECO | en |
dc.relation.ispartofseries | 2012/28 | en |
dc.relation.hasversion | http://hdl.handle.net/1814/33683 | |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.subject | Financial Volatility | en |
dc.subject | Beta | en |
dc.subject | Realized GARCH | en |
dc.subject | High Frequency Data | en |
dc.subject | G11 | en |
dc.subject | G17 | en |
dc.subject | C58 | en |
dc.title | Realized Beta GARCH: A Multivariate GARCH model with realized measures of volatility and covolatility | en |
dc.type | Working Paper | en |
dc.neeo.contributor | HANSEN|Peter Reinhard|aut|EUI70016 | |
dc.neeo.contributor | LUNDE|Asger|aut| | |
dc.neeo.contributor | VOEV|Valeri|aut| | |
eui.subscribe.skip | true | |