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A new variant of RealGARCH for volatility modeling

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  • Xie, Haibin
  • Qi, Nan
  • Wang, Shouyang

Abstract

A new variant of RealGARCH model is proposed for volatility modeling and forecasting. The main difference between this variant and the existed variants is that we use a multiplicative error model (MEM) structure to the measurement equation. Empirical studies are performed on several stock indices to evaluate our model specification, and the results turn out to be promising.

Suggested Citation

  • Xie, Haibin & Qi, Nan & Wang, Shouyang, 2019. "A new variant of RealGARCH for volatility modeling," Finance Research Letters, Elsevier, vol. 28(C), pages 438-443.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:438-443
    DOI: 10.1016/j.frl.2018.06.015
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    Cited by:

    1. Xie, Haibin & Yu, Chengtan, 2020. "Realized GARCH models: Simpler is better," Finance Research Letters, Elsevier, vol. 33(C).

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    More about this item

    Keywords

    CARR; GARCH@CARR; RealGARCH; Volatility;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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    Access and download statistics

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