) price data instead of simply using daily returns. A key innovation, for the improved modeling of not only dynamic variances … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

) price data instead of simply using daily returns. A key innovation, for the improved modeling of not only dynamic variances … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

using daily returns. A key innovation, for the improved modeling of not only dynamic variances but also of dynamic … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

. For the new model, we derive the unconditional variance of the returns, the news impact function and multi …-step-ahead volatility forecasts. When applied to the S&P 500, the new component model significantly outperforms the nested one-component GJR …