[英文文献] Exponential GARCH Modeling with Realized Measures of Volatility-指数GARCH建模与实... [推广有奖]

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稽核084 发表于 2004-11-19 17:05:57 |AI写论文

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英文文献：Exponential GARCH Modeling with Realized Measures of Volatility-指数GARCH建模与实现的措施的波动
英文文献作者：Peter Reinhard Hansen,Zhuo Huang
英文文献摘要：
We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to DJIA stocks and an exchange traded fund that tracks the S&P 500 index and find that specifications with multiple realized measures dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification.

我们引入了已实现的指数GARCH模型，该模型可以利用多个已实现的波动度量来建模一个回报序列。该模型明确了收益和已实现测度的动态特性，并对收益和波动之间的依赖关系进行了灵活的建模。我们将该模型应用于道琼斯工业平均指数(DJIA)股票和追踪标普500指数的交易所交易基金(etf)，发现具有多个已实现指标的规范优于那些依赖单一已实现指标的规范。实证分析提出了一些方便的简化，并突出了新规范的优点。