A RGARCH-CARR-SK model : a new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures

Junjie Liu, Qingnan Zhou, Zhenlong Chen

Year of publication:	2025
Authors:	Liu, Junjie ; Zhou, Qingnan ; Chen, Zhenlong
Subject:	Dynamic higher moments \| Generalized realized measures \| High-frequency volatility \| RGARCH-CARR-SK model \| Risk measurement \| Volatilität \| Volatility \| Risiko \| Risk \| Messung \| Measurement \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Theorie \| Theory \| ARCH-Modell \| ARCH model \| Prognoseverfahren \| Forecasting model \| Schätzung \| Estimation \| Statistische Verteilung \| Statistical distribution \| Kapitaleinkommen \| Capital income

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