COMPARISON OF APARCH-TYPE MODELS: DOES THE CONTINUOUS AND JUMP COMPONENTS OF REALIZED VOLATILITY IMPROVE THE FITTING?
This study aims to extend an APARCH-X(1,1) model to the APARCH-CJ(1,1) by separating the exogenous variable X into two components: continuous and discontinuous (jump). The study was based on the application of models to 1-min intraday high-frequency data from the Tokyo Stock Price Index from 2004 to...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Pattimura
2024-03-01
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| Series: | Barekeng |
| Subjects: | |
| Online Access: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/9842 |
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