In this paper, we take the advantage of high frequency data to develop option pricing model and select the Realized GARCH model to describe the volatility of assets, use NIG distribution to describe the distribution of underlying assets, and also build the Realized-GARCH-NIG model to price the option. Finally, we obtain the dynamic option pricing model based on the Realized-GARCH-NIG approach. ...

We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models with a linear or log-linear spec...

F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Real...

This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump–diffusion and discrete-time realized GARCH model by embedding discrete structure in continuous instantaneous volatility process. The key feature of proposed is corresponding conditional daily integrated adopts an autoregressive structure, where jump variation se...

This paper introduces a novel quantile approach to harness the high-frequency information and improve daily conditional estimation. Specifically, we model standard deviation as realized GARCH employ deviation, volatility, quantile, absolute overnight return innovations in proposed dynamic models. We devise two-step estimation procedure estimate parameters. The first step applies quasi-maximum l...

Dans cet article, nous proposons un modele hyperbolique GARCH realise adaptatif (ARealized HYGARCH) pour modeliser la longue memoire des series chronologiques a haute frequence avec d’eventuelles changements de regimes. Le changement regime est modelise, en permettant l’intercepte suivre une forme fonction lisse et flexible introduite par Gallant. De plus, les conditions stabilite ce sont etabl...

Modeling financial volatility is an important part of empirical finance. This paper provides a literature review of the most relevant volatility models, with a particular focus on forecasting models. We firstly discuss the empirical foundations of different kinds of volatility. The paper, then, analyses the non-parametric measure of volatility, named realized variance, and its empirical applica...