The HARX-GJR-GARCH skewed-t multipower realized volatility modelling for S&P 500

• Main Authors: Cheong, Chin Wen, Lee, Min Cherng, Nadira Mohamed Isa,, Poo, Kuan Hong
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2017
• Online Access: http://journalarticle.ukm.my/10599/1/14%20Chin%20Wen%20Cheong.pdf; http://journalarticle.ukm.my/10599/; http://www.ukm.my/jsm/english_journals/vol46num1_2017/contentsVol46num1_2017.html

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...