Hansen, Peter Reinhard; Zhuo (Albert) Huang; Shek, … - School of Economics and Management, University of Aarhus
GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a … and realized measures of volatility. The Realized GARCH framework nests most GARCH models as special cases and is, in many … ways, a natural extension of standard GARCH models. We pay special attention to linear and log-linear Realized GARCH …