We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...

We use heterogeneous autoregressive (HAR) model with high-frequency data of Hu-Shen 300 index to investigate the volatility-volume relationship via the volatility decomposition approach. Although we find that the continuous component of daily volatility is positively correlated with trading...

Realized measures of volatility based on high frequency data contain valuable information about the unobserved conditional volatility. In this paper, we use the Realized GARCH model developed by Hansen, Huang and Shek (2012) to estimate and forecast price volatility for four agricultural...

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...

The complexity of the world oil market has increased dramatically in recent years and new approaches are needed to understand, model, and forecast oil prices today. In addition to the commencement of the financialization era in oil markets, there have been structural changes in the global oil...

Reasonable assessments of the impact of information infrastructure construction on entrepreneurship will support the development of the digital economy in China. Using nationwide data from 2005 to 2017, this paper analyzes the causal effect of the “Broadband China” pilot policy on...

This study investigates the role of probability distribution in forecasting volatility and Value-at-Risk (VaR). We use the Realized GARCH model and high-frequency data from the cryptocurrency market and show that the role of probability distribution varies across different situations. A skewed-t...