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HYBRID GARCH Models and Intra-Daily Return Periodicity

Author

Listed:
  • Chen Xilong

    (SAS Institute)

  • Ghysels Eric

    (The University of North Carolina at Chapel Hill)

  • Wang Fangfang

    (University of Illinois at Chicago)

Abstract

We use the HYBRID GARCH model of Chen, Ghysels, and Wang (2009) to predict future volatility at daily horizons using intra-daily returns. The latter requires us to address intra-daily periodic patterns. We propose two approaches and compare their relative merits. The first approach uses raw intra-daily datawith the HYBRID process capturing the intra-daily periodic patternswhereas the second approach involves pre-adjusted intra-daily returns. We find that the former approach dominates both in-sample and out-of-sample, although for different HYBRID GARCH model specifications.

Suggested Citation

  • Chen Xilong & Ghysels Eric & Wang Fangfang, 2011. "HYBRID GARCH Models and Intra-Daily Return Periodicity," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-28, February.
  • Handle: RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:11
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    References listed on IDEAS

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    Cited by:

    1. Keith Pilbeam & Kjell Langeland, 2015. "Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts," International Economics and Economic Policy, Springer, vol. 12(1), pages 127-142, March.
    2. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.

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