Exponential GARCH Modeling With Realized Measures of Volatility

Peter Hansen and Zhuo Huang ()

Journal of Business & Economic Statistics, 2016, vol. 34, issue 2, 269-287

Abstract: We introduce the realized exponential GARCH model that can use multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to 27 stocks and an exchange traded fund that tracks the S&P 500 index and find specifications with multiple realized measures that dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification.

Date: 2016
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Working Paper: Exponential GARCH Modeling with Realized Measures of Volatility (2012)
Working Paper: Exponential GARCH Modeling with Realized Measures of Volatility (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:34:y:2016:i:2:p:269-287

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DOI: 10.1080/07350015.2015.1038543

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