Teran, Juan Carlos Ruilova; Morettin, Pedro Alberto - In: Journal of risk and financial management : JRFM 13 (2020) 2/38, pp. 1-19
In this work we study a variant of the GARCH model when we consider the arrival of heterogeneous information in high-frequency data. This model is known as HARCH(n). We modify the HARCH(n) model when taking into consideration some market components that we consider important to the modeling...
