Exponential GARCH Modeling with Realized Measures of Volatility

35 Pages Posted: 25 May 2018

See all articles by Peter Reinhard Hansen

Peter Reinhard Hansen

University of North Carolina (UNC) at Chapel Hill - Department of Economics; Copenhagen Business School, Finance; Aarhus University - CREATES

Zhuo Huang

National School of Development, Peking University

Date Written: April 2, 2015

Abstract

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

Keywords: EGARCH, High Frequency Data, Realized Variance, Leverage Effect

JEL Classification: C10, C22, C80

Suggested Citation

Hansen, Peter Reinhard and Huang, Zhuo, Exponential GARCH Modeling with Realized Measures of Volatility (April 2, 2015). Available at SSRN: https://ssrn.com/abstract=3178886 or http://dx.doi.org/10.2139/ssrn.3178886

Peter Reinhard Hansen (Contact Author)

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Chapel Hill, NC 27599
United States

HOME PAGE: http://https://sites.google.com/site/peterreinhardhansen/

Copenhagen Business School, Finance ( email )

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark

Aarhus University - CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Zhuo Huang

National School of Development, Peking University ( email )

No. 38 Xueyuan Road
Haidian District
Beijing, Beijing 100871
China

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
66
Abstract Views
381
rank
373,442
PlumX Metrics