A multiple indicators model for volatility using intra-daily data

DOI10.1016/J.JECONOM.2005.01.018zbMATH Open1337.62359OpenAlexW3023429964MaRDI QIDQ292000FDOQ292000

Authors: Robert F. Engle, Giampiero M. Gallo 

Publication date: 10 June 2016

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

Full work available at URL: http://www.nber.org/papers/w10117.pdf

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zbMATH Keywords

GARCHrealized volatilityhigh-low rangeVIXvolatility forecastingvolatility modeling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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Cited In (79)

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• Statistical inference for unified Garch-Itô models with high-frequency financial data
• Stock volatility predictability in bull and bear markets
• Volatility analysis with realized GARCH-Itô models
• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
• Generalized autoregressive moving average models with GARCH errors
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
• Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
• On classifying the effects of policy announcements on volatility
• Diagnostic checking of the vector multiplicative error model
• Modeling returns volatility: realized GARCH incorporating realized risk measure
• Financial clustering in presence of dominant markets
• A minimum distance lack-of-fit test in a Markovian multiplicative error model
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• Realized stochastic volatility with general asymmetry and long memory
• Capturing the Spillover Effect With Multiplicative Error Models
• Dynamics of variance risk premia: a new model for disentangling the price of risk
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• State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
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• Volatility forecasting using threshold heteroskedastic models of the intra-day range
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• Adaptive Lasso for vector Multiplicative Error Models
• SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
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• Heterogenous market hypothesis evaluation using multipower variation volatility
• カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
• Volatility-Related Exchange Traded Assets: An Econometric Investigation
• Dynamic Autoregressive Liquidity (DArLiQ)
• A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
• High-frequency-based volatility model with network structure
• Volatility analysis for the GARCH-Itô model with option data
• A slightly depressing jump model: intraday volatility pattern simulation
• A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities
• Empirical risk minimization for time series: nonparametric performance bounds for prediction
• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

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