We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two periods to have different properties. To capture the very heavy tails of overnight returns, we adopt a dynamic conditional score model with t innovations. We propose a several...

This paper provides novel insights into the dynamic properties of variance and semivariance premia. Considering nine international stock market indices, we find consistent evidence of significantly negative total and downside (semi)variance premia of around -15 bps per month. These premia almost...

We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two intraday periods to have different properties. To capture the very heavy tails of overnight returns, a dynamic conditional score model with t innovations is adopted. We propose a...