Zhang, Jianfeng; Hu, Wenxiu - In: International Journal of Managerial Finance 9 (2013) January, pp. 70-87
Purpose – The purpose of this paper is to examine whether realized volatility can provide additional information on the volatility process to the GARCH and EGARCH model, based on the data of Chinese stock market. Design/methodology/approach – The realized volatility is defined as the squared...
