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Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model
Huang, Zhuo; Liu, Hao; Wang, Tianyi
发表日期2016-11-24
出版年2016
语种英语
摘要

Huang, Zhuo, Hao Liu and Tianyi Wang. 2016. “Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model.” Economic Modelling. 52B:January: 812-821.
Download reference Doi:10.1016/j.econmod.2015.10.018

Long memory is an important feature of the volatility of financial returns. We document that the recently developed Realized GARCH model (Hansen et al., 2012) is insufficient for capturing the long memory of underlying volatility. We develop a parsimonious variant of the Realized GARCH model by introducing the HAR specification of Corsi (2009) into the volatility dynamics. A comparison of the theoretical and sample autocorrelation functions shows that the new model specification better captures the long memory dynamics of volatility. We calculate the multi-period out-of-sample volatility forecasts for several return series and find that the new model is a significant improvement over the classic Realized GARCH model.

URLhttps://efdinitiative.org/publications/modeling-long-memory-volatility-using-realized-measures-volatility-realized-har-garch
来源智库Environment for Development Initiative (Sweden)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/138293
推荐引用方式
GB/T 7714
Huang, Zhuo,Liu, Hao,Wang, Tianyi. Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model. 2016.
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