Daily GARCH model estimation using high frequency data

DOI10.16088/J.ISSN.1001-6600.2020091601MaRDI QIDQ5016949zbMATH OpenFDO

Authors XingFa Zhang, Chunliang Deng, Lili Li, Yuan Li

Publication date 17 December 2021

Full work available at URL https://doi.org/10.16088/J.ISSN.1001-6600.2020091601

zbMATH Keywords

GARCH modelintraday high frequency dataquasi maximum likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(11)

• Intra-daily information of range-based volatility for MEM-GARCH
• M-estimation for periodic GARCH model with high-frequency data
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• Statistical inference for unified Garch-Itô models with high-frequency financial data
• NIG-GARCH models based on open, close, high and low prices
• Daily FX volatility forecasts: can the GARCH(1,1) model be beaten using high-frequency data?
• Quasi-maximum exponential likelihood estimation for non-stationary GARCH(1,1) models with high-frequency data
• Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data
• Coupled GARCH(1,1) model
• Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data
• The nonparametric GARCH model estimation using intraday high-frequency data

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