Modelling and forecasting volatility with high-frequency and VIX information : a component realized EGARCH model with VIX
Xinyu Wu, Michelle Xia, Xindan Li
| Year of publication: |
2023
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|---|---|
| Authors: | Wu, Xinyu ; Xia, Michelle ; Li, Xindan |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 20, p. 2273-2291
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| Subject: | components volatility structure | high-frequency information | Realized EGARCH | VIX | volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Börsenkurs | Share price | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2022.2102570 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014294916