Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
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Bristol: Routledge
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Language
English
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Bristol: Routledge
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Contents
We introduce extensions of the Realized Exponential GARCH model (REGARCH) that capture the evident high persistence typically observed in measures of financial market volatility in a tractable fashion. The extensions decompose conditional variance into a short-term and a long-term component. The latter utilizes mixed-data sampling or a heterogeneou...
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Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
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TN_cdi_proquest_journals_2300827279
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2300827279
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ISSN
1469-7688
E-ISSN
1469-7696
DOI
10.1080/14697688.2019.1614653
