Exponential GARCH modeling with realized measures of volatility
Journal of business & economic statistics, 2016, Vol. 34, No. 2, pp. 269-287
HANSEN, Peter Reinhard, HUANG, Zhuo, Exponential GARCH modeling with realized measures of volatility, Journal of business & economic statistics, 2016, Vol. 34, No. 2, pp. 269-287 - https://hdl.handle.net/1814/61493
Retrieved from Cadmus, EUI Research Repository
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, and is characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to 27 stocks and an exchange traded fund that tracks the S&P 500 index and find specifications with multiple realized measures that 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/1814/61493
Full-text via DOI: 10.1080/07350015.2015.1038543
ISSN: 0735-0015; 1537-2707
Publisher: Taylor & Francis (Routledge)
Keyword(s): Realized variance High-frequency data EGARCH Leverage effect Range-Based Estimation High-Frequency Data Conditional Heteroskedasticity Microstructure Noise Variance Estimator Returns Arch Qmle
Sponsorship and Funder information:Center for Research in Econometric Analysis of Time Series, CREATESDanish National Research FoundationNational Natural Science Foundation of China 
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