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-...
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MDPI AG
2025-05-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/13/9/1506 |
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| author | Jinguan Lin Yizhi Mao Hongxia Hao Guangying Liu |
| author_facet | Jinguan Lin Yizhi Mao Hongxia Hao Guangying Liu |
| author_sort | Jinguan Lin |
| collection | DOAJ |
| description | 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-Maximum Likelihood-Kernel (QML-K) method is proposed to approximate the density function of returns and to estimate the parameters in the new model. Under some mild regularity conditions, the asymptotic properties of the resulting estimators are achieved. Simulation studies demonstrate that the proposed model yields better performances than traditional RG models under different situations. Finally, the empirical analysis shows better finite sample performance of the estimation method and the new model on real data compared with existing methods. |
| format | Article |
| id | doaj-art-a1aead7efcf3490598577315b9b82c19 |
| institution | DOAJ |
| issn | 2227-7390 |
| language | English |
| publishDate | 2025-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj-art-a1aead7efcf3490598577315b9b82c192025-08-20T02:58:47ZengMDPI AGMathematics2227-73902025-05-01139150610.3390/math13091506Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage EffectJinguan Lin0Yizhi Mao1Hongxia Hao2Guangying Liu3School of Statistics and Data Science, Nanjing Audit University, No. 86 Yushan Western Road, Nanjing 211815, ChinaSchool of Statistics and Data Science, Nanjing Audit University, No. 86 Yushan Western Road, Nanjing 211815, ChinaSchool of Statistics and Data Science, Nanjing Audit University, No. 86 Yushan Western Road, Nanjing 211815, ChinaSchool of Statistics and Data Science, Nanjing Audit University, No. 86 Yushan Western Road, Nanjing 211815, ChinaTo 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-Maximum Likelihood-Kernel (QML-K) method is proposed to approximate the density function of returns and to estimate the parameters in the new model. Under some mild regularity conditions, the asymptotic properties of the resulting estimators are achieved. Simulation studies demonstrate that the proposed model yields better performances than traditional RG models under different situations. Finally, the empirical analysis shows better finite sample performance of the estimation method and the new model on real data compared with existing methods.https://www.mdpi.com/2227-7390/13/9/1506volatility modeltime-varying leverage effectrealized GARCH modelsemiparametric estimation |
| spellingShingle | Jinguan Lin Yizhi Mao Hongxia Hao Guangying Liu Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect Mathematics volatility model time-varying leverage effect realized GARCH model semiparametric estimation |
| title | Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect |
| title_full | Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect |
| title_fullStr | Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect |
| title_full_unstemmed | Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect |
| title_short | Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect |
| title_sort | semiparametric estimation and application of realized garch model with time varying leverage effect |
| topic | volatility model time-varying leverage effect realized GARCH model semiparametric estimation |
| url | https://www.mdpi.com/2227-7390/13/9/1506 |
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