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FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility

Listed author(s):
  • Harry-Paul Vander Elst

We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/197641/1/2015-12-VANDERELST-flogarch.pdf
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2015-12.

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Length: 36 p.
Date of creation: Apr 2015
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/197641
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