Asymmetric models for realized covariances

Luc Bauwens, Emilija Dzuverovic and Christian M. Hafner
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Luc Bauwens: Université catholique de Louvain, LIDAM/CORE, Belgium
Christian M. Hafner: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 3355, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: We introduce asymmetric effects in the BEKK-type conditional autoregressive Wishart model for realized covariance matrices, either by interacting the realized covariances with the signs of the daily returns or by using the decomposition of the realized covariance matrix into positive, negative, and mixed semi-covariances, thus relying on the signs of the intra-daily returns. In an empirical study, we find that the asymmetric models using the signs of the daily returns have a better in-sample fit and out-of-sample predictive ability than the models using the signed intra-daily returns, and that the asymmetric models outperform the symmetric one.

Keywords: High-frequency data; Asymmetric volatility; Conditional autoregressive Wishart model (search for similar items in EconPapers)
Pages: 17
Date: 2026-02-09
Note: In: International Journal of Forecasting, 2026, vol. 42(2), p. 640-656
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvrp:3355

DOI: 10.1016/j.ijforecast.2025.09.005

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