Hansen, Peter Reinhard and Zhuo Huang. 2016. “Exponential GARCH modeling with realized measures of volatility.” Journal of Business & Economic Statistics. 34:2: 269-287.
Download reference Doi:10.1080/07350015.2015.1038543
We introduce the realized exponential GARCH model that can use multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to 27 stocks and an exchange traded fund that tracks the S&P 500 index and find specifications with multiple realized measures that dominate those that rely on a single realized measure. The empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification.