The HARX-GJR-GARCH skewed-t multipower realized
volatility modelling for S&P 500

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The HARX-GJR-GARCH skewed-t multipower realized volatility modelling for S&P 500

The heterogeneous autoregressive (HAR) models are used in modeling high frequency multipower realized volatility of the S&P 500 index. Extended from the standard realized volatility, the multipower realized volatility representations have the advantage of handling the possible abrupt jumps by sm...

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Bibliographic Details
Main Authors:	Cheong, Chin Wen, Lee, Min Cherng, Nadira Mohamed Isa, Poo, Kuan Hong
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2017
Online Access:	http://journalarticle.ukm.my/10599/ http://journalarticle.ukm.my/10599/1/14%20Chin%20Wen%20Cheong.pdf

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