Coupled GARCH(1,1) model

DOI10.1080/14697688.2023.2175715zbMATH Open1519.91269OpenAlexW4323353807MaRDI QIDQ6158437FDOQ6158437

Authors: Henri Waelbroeck 

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2175715

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zbMATH Keywords

GARCH modelrealized volatilityimplied volatilityvolatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• A functional version of the ARCH model
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• Strict stationarity of generalized autoregressive processes
• Volatility forecast comparison using imperfect volatility proxies
• THE GARCH OPTION PRICING MODEL
• Volatility is rough
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• The fine structure of volatility feedback. II: Overnight and intra-day effects
• A coupled component DCS-EGARCH model for intraday and overnight volatility
• Quadratic Hawkes processes for financial prices
• Incorporating overnight and intraday returns into multivariate GARCH volatility models

Cited In (1)

• A coupled component DCS-EGARCH model for intraday and overnight volatility

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