A new volatility model: GQARCH‐ItÔ model

Huiling Yuan, Yulei Sun, Lu Xu, Yong Zhou and Xiangyu Cui

Journal of Time Series Analysis, 2022, vol. 43, issue 3, 345-370

Abstract: Volatility asymmetry is a hot topic in high‐frequency financial market. This article proposes a new econometric model, which could describe volatility asymmetry based on high‐frequency data and low‐frequency data. After providing the quasi‐maximum likelihood estimators for the parameters, we establish their asymptotic properties. We also conduct a series of simulation studies to check the finite sample performance and volatility forecasting performance of the proposed model and method. And a real data example is demonstrated that the new model has more substantial volatility prediction power than GARCH‐Itô model in the literature.

Date: 2022
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https://doi.org/10.1111/jtsa.12616

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370

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