Coupled GARCH(1,1) model

Huasheng Nie and Henri Waelbroeck

Quantitative Finance, 2023, vol. 23, issue 5, 759-776

Abstract: We introduce a coupled GARCH model for the intraday and overnight volatility, using the implied jump magnitude from option markets and the earnings calendar to model anticipated shocks. We estimate the model on DJIA and report on the accuracy of the forecasts.

Date: 2023
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DOI: 10.1080/14697688.2023.2175715

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