Exponential GARCH Modeling with Realized Measures of Volatility

Peter Hansen and Zhuo Huang ()

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We introduce the Realized Exponential GARCH model that can utilize 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 DJIA stocks and an exchange traded fund that tracks the S&P 500 index and find that specifications with multiple realized measures dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification.

Keywords: EGARCH; High Frequency Data; Realized Variance; Leverage Effect. (search for similar items in EconPapers)
JEL-codes: C10 C22 C80 (search for similar items in EconPapers)
Pages: 29
Date: 2012-10-10
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mst and nep-rmg
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Citations: View citations in EconPapers (26)

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Related works:
Journal Article: Exponential GARCH Modeling With Realized Measures of Volatility (2016)
Working Paper: Exponential GARCH Modeling with Realized Measures of Volatility (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2012-44

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