منابع مشابه
Exponential Conditional Volatility Models
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We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility di usions. The estimator is based on the analytical solutions of the rst two conditional moments for the integrated volatility, which is e ectively approximated by the quadratic variation of the process. We successfully implement the...
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The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991). The underlying stochastic specification to obtain GARCH was demonstr...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3636727