We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two … of 1992-2015. We show that actually the ratio of overnight to intraday volatility has increased in importance for big … stocks in the last 20 years. In addition, our model provides better intraday volatility forecast since it takes account of …

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …