FloGARCH: Realizing long memory and asymmetries in returns volatility

Harry Vander Elst ()

No 280, Working Paper Research from National Bank of Belgium

Abstract: We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models.

Keywords: Realized GARCH models; high-frequency data; long memory; realized measures. (search for similar items in EconPapers)
JEL-codes: C22 C53 C58 G17 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2015-04
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for, nep-ore and nep-rmg
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https://www.nbb.be/doc/ts/publications/wp/wp280en.pdf (application/pdf)

Related works:
Working Paper: FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:201504-280

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