Modeling Realized Variance with Realized Quarticity

Hiroyuki Kawakatsu ()
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Hiroyuki Kawakatsu: Business School, Dublin City University, Dublin 9, D09 Dublin, Ireland

Stats, 2022, vol. 5, issue 3, 1-25

Abstract: This paper proposes a model for realized variance that exploits information in realized quarticity. The realized variance and quarticity measures are both highly persistent and highly correlated with each other. The proposed model incorporates information from the observed realized quarticity process via autoregressive conditional variance dynamics. It exploits conditional dependence in higher order (fourth) moments in analogy to the class of GARCH models exploit conditional dependence in second moments.

Keywords: realized variance; realized quarticity; volatility of volatility (search for similar items in EconPapers)
JEL-codes: C1 C10 C11 C14 C15 C16 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jstats:v:5:y:2022:i:3:p:50-880:d:909009

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