Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices

Elst, Harry Vander; Veredas, David

doi:10.2139/ssrn.2490335

SSRN Journal

2014

DOI: 10.2139/ssrn.2490335

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Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices

Harry Vander Elst

David Veredas

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2015

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Flogarch: Realizing Long Memory and Asymmetries in Returns Volatility

Elst

2015

SSRN Journal

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We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models.

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Flogarch: Realizing Long Memory and Asymmetries in Returns Volatility

Elst

2015

SSRN Journal

Self Cite

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show abstract

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Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices

Cited by 1 publication

References 85 publications

Flogarch: Realizing Long Memory and Asymmetries in Returns Volatility

Flogarch: Realizing Long Memory and Asymmetries in Returns Volatility

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