Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications
This paper revisits the topic of time-scale parameterizations of the Heston–Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and six frequencies to let data reveal the correct, data-im...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-02-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/13/1/6 |
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