Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect

Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect

To describe the stylized features of volatility comprehensively, this paper embeds the time-varying leverage effect of volatility into the Realized Generalized AutoRegressive Conditional Heteroskedasticity (RG) model and proposes a new volatility model with a time-varying leverage effect. The Quasi-...

Full description

Saved in:
Bibliographic Details
Main Authors: Jinguan Lin, Yizhi Mao, Hongxia Hao, Guangying Liu
Format: Article
Language:English
Published: MDPI AG 2025-05-01
Series:Mathematics
Subjects:
volatility model
time-varying leverage effect
realized GARCH model
semiparametric estimation
Online Access:https://www.mdpi.com/2227-7390/13/9/1506
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://www.mdpi.com/2227-7390/13/9/1506

Similar Items