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