Exponential GARCH Modeling With Realized Measures of Volatility

DOI10.1080/07350015.2015.1038543MaRDI QIDQ6667076zbMATH OpenFDO

Authors Peter Reinhard Hansen, Zhuo Huang

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2015.1038543

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cited in

(6)

• Heterogeneous volatility information content for the realized GARCH modeling and forecasting volatility
• A multivariate realized GARCH model
• Multivariate stochastic volatility models based on generalized Fisher transformation
• Semi-parametric financial risk forecasting incorporating multiple realized measures
• Exponential realized Garch-Itô volatility models
• Forecasting VaR and returns distribution using the real-time GARCH models with standardized two-sided Lindley distribution

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