2020
DOI: 10.1080/14697688.2020.1751257
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

Abstract: This paper proposes novel approaches to the modeling of attenuation bias effects in volatility forecasting. Our strategy relies on suitable generalizations of the Realized GARCH model by Hansen et al. (2012) where the impact of lagged realized measures on the current conditional variance is weighted according to the accuracy of the measure itself at that specific time point. This feature allows assigning more weight to lagged volatilities when they are more accurately measured. The ability of the proposed mode… Show more

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Cited by 7 publications
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References 32 publications
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