Linton, Oliver; Wu, Jianbin - 2017
We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two … of 1992-2015. We show that actually the ratio of overnight to intraday volatility has increased in importance for big … stocks in the last 20 years. In addition, our model provides better intraday volatility forecast since it takes account of …