We propose a general GARCH framework that allows the predict volatility using returns sampled at a higher frequency than the prediction horizon. We call the class of models High FrequencY Data-Based PRojectIon-Driven GARCH, or HYBRID-GARCH models, as the volatility dynamics are driven by what we...

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...