We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box …

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …

This paper introduces a unified multivariate overnight GARCH-Ito model for volatility matrix estimation and prediction … proposed model has two different instantaneous volatility processes for the open-to-close and close-to-open periods, while each … volatility matrices and study its asymptotic properties.A simulation study is conducted to check the finite sample performance of …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …