Exponential GARCH Modeling with Realized Measures of Volatility
نویسندگان
چکیده
منابع مشابه
Eco 2012/26 Department of Economics Exponential Garch Modeling with Realized Measures of Volatility
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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.3178886