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A new volatility model: GQARCH‐ItÔ model

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  • Huiling Yuan
  • Yulei Sun
  • Lu Xu
  • Yong Zhou
  • Xiangyu Cui

Abstract

Volatility asymmetry is a hot topic in high‐frequency financial market. This article proposes a new econometric model, which could describe volatility asymmetry based on high‐frequency data and low‐frequency data. After providing the quasi‐maximum likelihood estimators for the parameters, we establish their asymptotic properties. We also conduct a series of simulation studies to check the finite sample performance and volatility forecasting performance of the proposed model and method. And a real data example is demonstrated that the new model has more substantial volatility prediction power than GARCH‐Itô model in the literature.

Suggested Citation

  • Huiling Yuan & Yulei Sun & Lu Xu & Yong Zhou & Xiangyu Cui, 2022. "A new volatility model: GQARCH‐ItÔ model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 345-370, May.
    • Handle: RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370
    DOI: 10.1111/jtsa.12616
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