Citation

Chin, Wen Cheong and Lee, Min Cherng and Mohamed Isa, Nadira and Poo, Kuan Hoong (2017) The HARX-GJR-GARCH skewed-t multipower realized volatility modelling for S&P 500. Sains Malaysiana, 46 (1). pp. 107-116. ISSN 0126-6039

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Abstract

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 smoothing the consecutive volatility. In order to accommodate clustering volatility and asymmetric of multipower realized volatility, the HAR model is extended by the threshold autoregressive conditional heteroscedastic (GJR-GARCH) component. In addition, the innovations of the multipower realized volatility are characterized by the skewed student-t distributions. The extended model provides the best performing in-sample and out-of-sample forecast evaluations.

Item Type:	Article
Uncontrolled Keywords:	Stochastic models, GARCH, HAR, realized volatility
Subjects:	Q Science > QA Mathematics > QA273-280 Probabilities. Mathematical statistics
Divisions:	Faculty of Management (FOM)
Depositing User:	Ms Rosnani Abd Wahab
Date Deposited:	25 Oct 2020 15:54
Last Modified:	25 Oct 2020 15:54
URII:	http://shdl.mmu.edu.my/id/eprint/7138

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