A realized EGARCH-MIDAS model with higher moments

Xinyu Wu and Haibin Xie

Finance Research Letters, 2021, vol. 38, issue C

Abstract: This paper proposes a realized EGARCH-MIDAS model with higher moments (REGARCH-MIDAS-SK) which combines the REGARCH-MIDAS model by Borup and Jakobsen (2019) and the REGARCH-SK model by Wu et al. (2019) to model volatility. A key feature of the proposed model is the ability to account for the high persistence of volatility and the time-varying non-Gaussianities of return distribution simultaneously. Empirical results show that the REGARCH-MIDAS-SK model outperforms the REGARCH model as well as the REGARCH-MIDAS and REGARCH-SK models both in terms of in-sample fit and out-of-sample forecast performance.

Keywords: Realized EGARCH; Realized kernel; MIDAS; Volatility persistence; Higher moments (search for similar items in EconPapers)
JEL-codes: C32 C5 G17 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505

DOI: 10.1016/j.frl.2019.101392

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