HYBRID-GARCH: A Generic Class of Models for Volatility Predictions using High Frequency Data

DOI10.5705/SS.2012.283OpenAlexW3125113662MaRDI QIDQ3449029

Xilong Chen, Eric Ghysels, Fangfang Wang

Publication date: 3 November 2015

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ecf2f1ee250d6aa51782d998f09bcf55a8bf3701

zbMATH Keywords

filteringtemporal aggregationweak GARCHrealized measureGARCH jump diffusionHYBRID process

Mathematics Subject Classification ID

Statistics (62-XX)

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Multivariate leverage effects and realized semicovariance GARCH models ⋮ Incorporating overnight and intraday returns into multivariate GARCH volatility models

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