We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two … score model with t innovations. We propose a several step estimation procedure that captures the nonparametric slowly moving … components by kernel estimation and the dynamic parameters by t maximum likelihood. We establish the consistency and asymptotic …

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …

time series by exploiting the implications of a GJR-GARCH volatility model. The method is based on some recent work on the …