Recent Methods: A Review

Stavros Degiannakis and Christos Floros

Chapter 6 in Modelling and Forecasting High Frequency Financial Data, 2015, pp 217-242 from Palgrave Macmillan

Abstract: Abstract This chapter presents a review of recent methods on high frequency financial techniques for modelling realized volatility. The focus is on the jump volatility measures and jump tests, and the real(E)GARCH, HAR-RV-J and HEAVY models. Further, we give examples of the above methods on financial risk management by providing realized betas considering a multivariate GARCH model with realized measures of volatility (similar to dynamic CAPM).

Keywords: Conditional Variance; GARCH Model; Median Absolute Deviation; Leverage Effect; Jump Test (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-39649-5_6

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DOI: 10.1057/9781137396495_6

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