HYBRID GARCH Models and Intra-Daily Return Periodicity

Chen Xilong, Ghysels Eric and Wang Fangfang
Additional contact information
Chen Xilong: SAS Institute
Ghysels Eric: The University of North Carolina at Chapel Hill
Wang Fangfang: University of Illinois at Chicago

Journal of Time Series Econometrics, 2011, vol. 3, issue 1, 28

Abstract: We use the HYBRID GARCH model of Chen, Ghysels, and Wang (2009) to predict future volatility at daily horizons using intra-daily returns. The latter requires us to address intra-daily periodic patterns. We propose two approaches and compare their relative merits. The first approach uses raw intra-daily data--with the HYBRID process capturing the intra-daily periodic patterns--whereas the second approach involves pre-adjusted intra-daily returns. We find that the former approach dominates both in-sample and out-of-sample, although for different HYBRID GARCH model specifications.

Keywords: HYBRID; GARCH; periodicity; intra-daily returns; intra-daily returns (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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DOI: 10.2202/1941-1928.1095

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