A new variant of RealGARCH for volatility modeling

Haibin Xie, Nan Qi and Shouyang Wang

Finance Research Letters, 2019, vol. 28, issue C, 438-443

Abstract: A new variant of RealGARCH model is proposed for volatility modeling and forecasting. The main difference between this variant and the existed variants is that we use a multiplicative error model (MEM) structure to the measurement equation. Empirical studies are performed on several stock indices to evaluate our model specification, and the results turn out to be promising.

Keywords: CARR; GARCH@CARR; RealGARCH; Volatility (search for similar items in EconPapers)
JEL-codes: C22 C5 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:438-443

DOI: 10.1016/j.frl.2018.06.015

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