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Exponential GARCH Modeling with Realized Measures of Volatility

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Cited by:

  1. Muntazir Hussain & Usman Bashir & Ramiz Ur Rehman, 2024. "Exchange Rate and Stock Prices Volatility Connectedness and Spillover during Pandemic Induced-Crises: Evidence from BRICS Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 183-203, March.
  2. Dinghai Xu, 2021. "A study on volatility spurious almost integration effect: A threshold realized GARCH approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4104-4126, July.
  3. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020. "Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss," Journal of International Money and Finance, Elsevier, vol. 104(C).
  4. Manabu Asai & Michael McAleer, 2022. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 103-123, January.
  5. Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020. "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series 20-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
  6. Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  7. Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016. "Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution," International Journal of Forecasting, Elsevier, vol. 32(2), pages 437-457.
  8. Christos Floros & Konstantinos Gkillas & Christoforos Konstantatos & Athanasios Tsagkanos, 2020. "Realized Measures to Explain Volatility Changes over Time," JRFM, MDPI, vol. 13(6), pages 1-19, June.
  9. Bonato, Matteo, 2019. "Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 184-202.
  10. Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022. "Option pricing with state‐dependent pricing kernel," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
  11. Wu, Xinyu & Xia, Michelle & Zhang, Huanming, 2020. "Forecasting VaR using realized EGARCH model with skewness and kurtosis," Finance Research Letters, Elsevier, vol. 32(C).
  12. Marius Matei & Xari Rovira & Núria Agell, 2019. "Bivariate Volatility Modeling with High-Frequency Data," Econometrics, MDPI, vol. 7(3), pages 1-15, September.
  13. Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong, 2022. "Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model," Economic Modelling, Elsevier, vol. 109(C).
  14. Chen, Qihao & Huang, Zhuo & Liang, Fang, 2023. "Measuring systemic risk with high-frequency data: A realized GARCH approach," Finance Research Letters, Elsevier, vol. 54(C).
  15. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021. "Forecasting the volatility of asset returns: The informational gains from option prices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.
  16. H. Rangika Iroshani Peiris & Chao Wang & Richard Gerlach & Minh-Ngoc Tran, 2024. "Semi-parametric financial risk forecasting incorporating multiple realized measures," Papers 2402.09985, arXiv.org.
  17. Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016. "Modeling and forecasting exchange rate volatility in time-frequency domain," European Journal of Operational Research, Elsevier, vol. 251(1), pages 329-340.
  18. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
  19. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
  20. Cathy W.S. Chen & Toshiaki Watanabe, 2019. "Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 747-765, May.
  21. Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014. "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, vol. 44(C), pages 492-502.
  22. Antonio Naimoli & Giuseppe Storti, 2021. "Forecasting Volatility and Tail Risk in Electricity Markets," JRFM, MDPI, vol. 14(7), pages 1-17, June.
  23. Yuta Kurose, 2022. "Bayesian GARCH modeling for return and range," Economics Bulletin, AccessEcon, vol. 42(3), pages 1717-1727.
  24. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
  25. Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2021. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Papers 2112.05302, arXiv.org.
  26. Wang, Yajing & Liang, Fang & Wang, Tianyi & Huang, Zhuo, 2020. "Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 87(C), pages 148-157.
  27. Harry-Paul Vander Elst, 2015. "FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility," Working Papers ECARES ECARES 2015-12, ULB -- Universite Libre de Bruxelles.
  28. Yu‐Sheng Lai, 2018. "Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1370-1390, November.
  29. Xu, Dinghai, 2022. "Canadian stock market volatility under COVID-19," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 159-169.
  30. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017. "Realized stochastic volatility with general asymmetry and long memory," Journal of Econometrics, Elsevier, vol. 199(2), pages 202-212.
  31. Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES ECARES 2015-41, ULB -- Universite Libre de Bruxelles.
  32. Donggyu Kim & Minseog Oh & Yazhen Wang, 2022. "Conditional quantile analysis for realized GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 640-665, July.
  33. Ahmed BenSaïda, 2021. "The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 540-570, April.
  34. Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 83893, University Library of Munich, Germany.
  35. Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
  36. Chen, Cathy W.S. & Watanabe, Toshiaki & Lin, Edward M.H., 2023. "Bayesian estimation of realized GARCH-type models with application to financial tail risk management," Econometrics and Statistics, Elsevier, vol. 28(C), pages 30-46.
  37. Díaz-Hernández, Adán & Constantinou, Nick, 2019. "A multiple regime extension to the Heston–Nandi GARCH(1,1) model," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 162-180.
  38. Shijia Song & Handong Li, 2023. "A new model for forecasting VaR and ES using intraday returns aggregation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1039-1054, August.
  39. Vica Tendenan & Richard Gerlach & Chao Wang, 2020. "Tail risk forecasting using Bayesian realized EGARCH models," Papers 2008.05147, arXiv.org, revised Aug 2020.
  40. Asai, Manabu & McAleer, Michael & Peiris, Shelton, 2020. "Realized stochastic volatility models with generalized Gegenbauer long memory," Econometrics and Statistics, Elsevier, vol. 16(C), pages 42-54.
  41. Elena Ivona Dumitrescu & Georgiana-Denisa Banulescu, 2019. "Do High-frequency-based Measures Improve Conditional Covariance Forecasts?," Post-Print hal-03331122, HAL.
  42. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
  43. Chao Wang & Richard Gerlach, 2021. "A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting," Papers 2106.00288, arXiv.org, revised Oct 2022.
  44. Bertelsen, Kristoffer Pons & Borup, Daniel & Jakobsen, Johan Stax, 2021. "Stock market volatility and public information flow: A non-linear perspective," Economics Letters, Elsevier, vol. 204(C).
  45. Fang Liang & Lingshan Du & Zhuo Huang, 2023. "Option pricing with overnight and intraday volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1576-1614, November.
  46. Chen Tong & Zhuo Huang & Tianyi Wang, 2022. "Do VIX futures contribute to the valuation of VIX options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1644-1664, September.
  47. Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Alexandros Garefalakis & Nikolaos Sariannidis, 2020. "Greek sovereign crisis and European exchange rates: effects of news releases and their providers," Annals of Operations Research, Springer, vol. 294(1), pages 515-536, November.
  48. Nikolaos Stoupos & Apostolos Kiohos, 2022. "Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 60(4), pages 1019-1046, July.
  49. Stavroula Yfanti & Georgios Chortareas & Menelaos Karanasos & Emmanouil Noikokyris, 2022. "A three‐dimensional asymmetric power HEAVY model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2737-2761, July.
  50. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org.
  51. Adserà, Alícia & Ferrer, Ana M. & Herranz, Virginia, 2020. "Descriptive labor market outcomes of immigrant women across Europe," CLEF Working Paper Series 18, Canadian Labour Economics Forum (CLEF), University of Waterloo.
  52. Hiroyuki Kawakatsu, 2022. "Modeling Realized Variance with Realized Quarticity," Stats, MDPI, vol. 5(3), pages 1-25, September.
  53. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis," Finance Research Letters, Elsevier, vol. 46(PB).
  54. Chao Wang & Richard Gerlach & Qian Chen, 2018. "A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework," Papers 1807.02422, arXiv.org, revised Jan 2021.
  55. Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series HIAS-E-104, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  56. Huiling Yuan & Guodong Li & Junhui Wang, 2022. "High-Frequency-Based Volatility Model with Network Structure," Papers 2204.12933, arXiv.org.
  57. Papantonis Ioannis & Tzavalis Elias & Agapitos Orestis & Rompolis Leonidas S., 2023. "Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 171-198, April.
  58. Huang, Zhuo & Liu, Hao & Wang, Tianyi, 2016. "Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model," Economic Modelling, Elsevier, vol. 52(PB), pages 812-821.
  59. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2024. "Macro‐financial linkages in the high‐frequency domain: Economic fundamentals and the Covid‐induced uncertainty channel in US and UK financial markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1581-1608, April.
  60. Xu, Yongdeng, 2022. "The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting," Cardiff Economics Working Papers E2022/5, Cardiff University, Cardiff Business School, Economics Section.
  61. Guanghui Cai & Zhimin Wu & Lei Peng, 2021. "Forecasting volatility with outliers in Realized GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 667-685, July.
  62. Xie, Haibin & Yu, Chengtan, 2020. "Realized GARCH models: Simpler is better," Finance Research Letters, Elsevier, vol. 33(C).
  63. Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Oct 2022.
  64. Lu, Xinjie & Su, Yuandong & Huang, Dengshi, 2023. "Chinese agricultural futures volatility: New insights from potential domestic and global predictors," International Review of Financial Analysis, Elsevier, vol. 89(C).
  65. Cathy W. S. Chen & Edward M. H. Lin & Tara F. J. Huang, 2022. "Bayesian quantile forecasting via the realized hysteretic GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1317-1337, November.
  66. Chen Liu & Chao Wang & Minh-Ngoc Tran & Robert Kohn, 2023. "Deep Learning Enhanced Realized GARCH," Papers 2302.08002, arXiv.org, revised Oct 2023.
  67. Didit Budi Nugroho & Takayuki Morimoto, 2019. "Incorporating Realized Quarticity into a Realized Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 495-528, December.
  68. Wu, Xinyu & Zhao, An & Liu, Li, 2023. "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  69. P Gorgi & P R Hansen & P Janus & S J Koopman, 2019. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 1-32.
  70. Naimoli, Antonio, 2022. "The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets," MPRA Paper 112588, University Library of Munich, Germany.
  71. Moawia Alghalith & Christos Floros & Konstantinos Gkillas, 2020. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility," Risks, MDPI, vol. 8(2), pages 1-15, April.
  72. Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).
  73. Tran, Thuy Nhung, 2022. "The Volatility of the Stock Market and Financial Cycle: GARCH Family Models," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 56(1), pages 151-168.
  74. Si Mohammed, Kamel & Tedeschi, Marco & Mallek, Sabrine & Tarczyńska-Łuniewska, Małgorzata & Zhang, Anqi, 2023. "Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash," Resources Policy, Elsevier, vol. 85(PA).
  75. Nikolaos Stoupos & Apostolos Kiohos, 2021. "BREXIT referendum’s impact on the financial markets in the UK," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(1), pages 1-19, February.
  76. Asger Lunde & Kasper V. Olesen, 2014. "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers 2013-19, Department of Economics and Business Economics, Aarhus University.
  77. Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias, 2023. "Improving variance forecasts: The role of Realized Variance features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1221-1237.
  78. Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022. "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, vol. 107(C).
  79. Chen Tong & Zhuo Huang, 2021. "Pricing VIX options with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1180-1200, August.
  80. Wang, Lu & Zhao, Chenchen & Liang, Chao & Jiu, Song, 2022. "Predicting the volatility of China's new energy stock market: Deep insight from the realized EGARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 48(C).
  81. Chunliang Deng & Xingfa Zhang & Yuan Li & Qiang Xiong, 2020. "Garch Model Test Using High-Frequency Data," Mathematics, MDPI, vol. 8(11), pages 1-17, November.
  82. Donggyu Kim, 2021. "Exponential GARCH-Ito Volatility Models," Papers 2111.04267, arXiv.org.
  83. Fangsheng Yin & Yang Bian & Tianyi Wang, 2021. "A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 458-477, April.
  84. Konstantinos Gkillas & Christoforos Konstantatos & Costas Siriopoulos, 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation," Econometrics, MDPI, vol. 9(2), pages 1-18, April.
  85. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Stats, MDPI, vol. 6(4), pages 1-32, December.
  86. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2022. "Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers," Journal of Econometrics, Elsevier, vol. 227(1), pages 285-304.
  87. Richard Gerlach & Chao Wang, 2016. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures," Papers 1612.08488, arXiv.org.
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