A multiple indicators model for volatility using intra-daily data

DOI10.1016/j.jeconom.2005.01.018zbMath1337.62359OpenAlexW3023429964MaRDI QIDQ292000

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

zbMATH Keywords

GARCHrealized volatilityhigh-low rangeVIXvolatility forecastingvolatility modeling

Mathematics Subject Classification ID

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

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