Incorporating overnight and intraday returns into multivariate GARCH volatility models

DOI10.1016/J.JECONOM.2019.12.013MaRDI QIDQ2190235zbMATH OpenOpenAlexWikidataFDO

Authors Geert Dhaene, Jianbin Wu

Publication date 18 June 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.12.013

zbMATH Keywords

intraday returnsmixed-frequency samplingmultivariate GARCHovernight returns

Mathematics Subject Classification ID

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)

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Cites work

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• The fine structure of volatility feedback. II: Overnight and intra-day effects
• The Model Confidence Set
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Cited in

(9)

• The fine structure of volatility feedback. II: Overnight and intra-day effects
• A coupled component DCS-EGARCH model for intraday and overnight volatility
• Editorial: Nonlinear financial econometrics JoE special issue introduction
• Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
• Combining information at different frequencies in multivariate volatility prediction
• HYBRID-GARCH: A Generic Class of Models for Volatility Predictions using High Frequency Data
• Coupled GARCH(1,1) model
• Impact of overnight information on MEM volatility prediction
• Bayesian influence diagnostics for a multivariate GARCH model

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