A New Volatility Model: GQARCH-It\^{o} Model.

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.