A simple joint model for returns, volatility and volatility of volatility

DOI10.1016/J.JECONOM.2021.09.012MaRDI QIDQ2682964zbMATH OpenOpenAlexFDO

Authors Yashuang (Dexter) Ding

Publication date 1 February 2023

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.09.012

zbMATH Keywords

forecastingGARCHnowcastingSVvolatility of volatility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(3)

• Volatility puzzles: a simple framework for gauging return-volatility regressions
• Forecasting VaR and returns distribution using the real-time GARCH models with standardized two-sided Lindley distribution
• Noising the GARCH volatility: a random coefficient GARCH model

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