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Article: A New Volatility Model: GQARCH-It\^{o} Model.
Title | A New Volatility Model: GQARCH-It\^{o} Model. |
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Authors | |
Issue Date | 2021 |
Citation | Journal of Time Series Analysis, 2021, v. 43, p. 345-370 How to Cite? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/314821 |
DC Field | Value | Language |
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dc.contributor.author | Yuan, H | - |
dc.date.accessioned | 2022-08-05T09:35:12Z | - |
dc.date.available | 2022-08-05T09:35:12Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Journal of Time Series Analysis, 2021, v. 43, p. 345-370 | - |
dc.identifier.uri | http://hdl.handle.net/10722/314821 | - |
dc.description.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. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Time Series Analysis | - |
dc.title | A New Volatility Model: GQARCH-It\^{o} Model. | - |
dc.type | Article | - |
dc.identifier.email | Yuan, H: huilyuan@hku.hk | - |
dc.identifier.hkuros | 335036 | - |
dc.identifier.volume | 43 | - |
dc.identifier.spage | 345 | - |
dc.identifier.epage | 370 | - |