We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

time series and quantiles of the distribution of a predictable volatility proxy variable. They can be represented as … processes for the dynamics of the volatility proxy. The idea is illustrated using a Gaussian ARMA copula process and the …