Autori
HANSEN, Peter Reinhard
Huang, Zhuo

Titolo
Exponential GARCH Modeling with Realized Measures of Volatility
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2012 - Fascicolo: 26 - Pagina iniziale: 1 - Pagina finale: 29

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&P 500 index and find that specifications with multiple realized measures dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification.




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