Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility
Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility
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DOI：
10.2139/ssrn.1533475
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发表时间：
2010-10
期刊：
影响因子：
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通讯作者：
Peter Reinhard Hansen;Zhuo Huang;Howard Howan Stephen Shek
中科院分区：
文献类型：
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作者：
Peter Reinhard Hansen;Zhuo Huang;Howard Howan Stephen Shek
我们引入了一个新的框架，实现GARCH，联合建模的回报率和实现的波动性措施。一个关键特征是将已实现的度量与回报的条件方差相关联的度量方程。测量方程有利于一个简单的模型之间的依赖关系的回报率和未来的波动性。具有线性或对数线性规格的已实现的Gynecological模型具有许多吸引人的特征。他们是吝啬的，简单的估计，并暗示一个阿尔马结构的条件方差和实现措施。与DJIA股票和交易所交易指数基金的实证应用表明，一个简单的实现Gestival结构导致了显着改善的经验拟合超过标准Gestival模型。
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 specification have many attractive features. They are parsimonious, simple to estimate, and imply an ARMA structure for the conditional variance and the realized measure. An empirical application with DJIA stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads to substantial improvements in the empirical fit over standard GARCH models.