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- W565288202 abstract "This paper extends standard GARCH models of volatility with realized measures for the realized GARCH framework. A key feature of the realized GARCH framework is the measurement equation that relates the observed realized measure to latent volatility. We pay special attention to linear and log-linear realized GARCH models. Moreover, the framework enhance the joint modeling of returns and realized measures of volatility. An empirical application with ICE Brent Crude Oil future front month contracts shows that a realized GARCH specification improves the empirical fit substantially relative to a standard GARCH model. The estimates give weak evidence for a skewed student's t distribution for the standardized error term and the leverage function shows a clear negative asymmetry between today's return and tomorrow's volatility." @default.
- W565288202 created "2016-06-24" @default.
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- W565288202 date "2012-01-01" @default.
- W565288202 modified "2023-09-24" @default.
- W565288202 title "Realized GARCH: Evidence in ICE Brent Crude Oil Futures Front Month Contracts" @default.
- W565288202 hasPublicationYear "2012" @default.
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