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This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
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volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …% and at least 78%). The results on the GMV portfolios show that realized covariance models exhibit lower ex-post volatility …
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measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models …. A joint quasi-maximum likelihood estimation and closed form multi-step ahead forecasting is derived. The model is …
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