Abstract We introduce a new class of flexible Realized GARCH models. Our model generalizes the original specification of Hansen et al. (2012) along three different directions. First, it features a time varying volatility persistence. Namely, the shock response coefficient in the volatility equation adjusts to the time varying accuracy of the associated realized measure. Second, our framework allows to consider, in a parsimonious way, the inclusion of multiple realized measures. Finally, it allows for heteroskedasticity of the noise component in the measurement equation. The appropriateness of the proposed class of models is appraised by means of an application to a set of stock returns data.
Flexible Realized GARCH models
STORTI, Giuseppe
;
2016
Abstract
Abstract We introduce a new class of flexible Realized GARCH models. Our model generalizes the original specification of Hansen et al. (2012) along three different directions. First, it features a time varying volatility persistence. Namely, the shock response coefficient in the volatility equation adjusts to the time varying accuracy of the associated realized measure. Second, our framework allows to consider, in a parsimonious way, the inclusion of multiple realized measures. Finally, it allows for heteroskedasticity of the noise component in the measurement equation. The appropriateness of the proposed class of models is appraised by means of an application to a set of stock returns data.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
