The HARX-GJR-GARCH skewed-t multipower realized volatility modelling for S&P 500
The heterogeneous autoregressive (HAR) models are used in modeling high frequency multipower realized volatility of the S&P 500 index. Extended from the standard realized volatility, the multipower realized volatility representations have the advantage of handling the possible abrupt jumps by sm...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2017
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| Online Access: | http://journalarticle.ukm.my/10599/ http://journalarticle.ukm.my/10599/ http://journalarticle.ukm.my/10599/1/14%20Chin%20Wen%20Cheong.pdf |