This paper introduces a new multivariate conditional volatility model for returns that utilizes realized covariance matrices. The model decomposes the conditional and realized covariance matrices into standard deviations and correlations matrices. On a first level, the univariate variances are estimated by a modified Generalized Autoregressive Conditional Heteroskedasticity (GARCH) that exploit...

It is well-established that the …nancial time series display some stylized fatcs such as volatility clustering, high kurtosis, low starting and slow-decaying autocorrelation function and the Talyor e¤ect as well. In order to evaluate volatility models’capacity in capturing such facts, we apply both standard and robust measures of kurtosis and autocorrelation of squares to GARCH, EGARCH and ARSV...

Given the growing need for managing financial risk, risk prediction plays an increasing role in banking and finance. In this study, we compare the out-of-sample performance of existing methods and some new models for predicting Value-at-Risk. Using more than 30 years of the daily return data on the NASDAQ Composite Index, we find that most approaches perform inadequately, although several model...

In view of the recent documented hedging bias attributable to failing to accommodate volatility long memory, we suggest to use the simple, yet superior, realized variancecovariance (RVCOV) in dynamic hedging. For its incremental value from intradaily information, model-free and inherent long memory, RVCOV has been shown to be accurate without misspecification bias and easily generalized to high...

This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with realized of futures, level uncertainty. find that play a significant role in dynamics long-run markets China United States.

In the current financial crisis, promoting rapid developments of gold industry, ensuring healthy operations of national economy, and actively developing the gold futures market are very important. Functioning of the gold futures market will determine the gold market maturity and integrity. Risk transfer is one of the two basic functions of futures market. The risk transfer function is realized ...

There has been an increasing attention on the influences online financial information has on the financial markets. In the meanwhile, the volatility of trading volumes, just as the volatility of stock returns, has an inseparable association with financial risks. It has been considered that there might exist some direct or indirect correlations between online financial information volumes and fi...

In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland and Aı̈t-Sahalia (2005). The time series properties of realized daily variance are compared wit...

a r t i c l e i n f o JEL classification: C32 C51 L94 Q40 Keywords: Wholesale spot electricity price markets Constant and dynamic conditional correlation Multivariate GARCH This paper examines the interrelationships of wholesale spot electricity prices among the four regional A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Dynamic c...