Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data

IF 6.9 2区 经济学 Q1 ECONOMICS International Journal of Forecasting Pub Date : 2023-10-01 DOI:10.1016/j.ijforecast.2022.08.006
Jin-Yu Fu, Jin-Guan Lin, Hong-Xia Hao
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Abstract

This paper introduces a model that can accommodate both the continuous-time-diffusion and discrete-time mixed-GARCH–Jump models by embedding the discrete mixed-GARCH-Jump structure in the continuous volatility process. The key feature of the proposed model is that the corresponding conditional integrated volatility adopts the mixed-GARCH-Jump structure that accounts for the effect of jumps on future volatility. A Griddy–Gibbs sampler approach is proposed to estimate parameters, and volatility forecasting and value-at-risk forecasting based on the peaks-over-threshold method are developed. Simulations are carried out to check the finite sample performance of the proposed methodology, and empirical studies show that, in general, volatility is heavily influenced by the continuous innovations, rather than the extreme reactions. We find that both the simulation and empirical results in most cases support the proposed model.

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基于高频和低频金融数据的GARCH-Itô-Jumps模型的波动率分析
本文通过在连续波动过程中嵌入离散混合garch - jump结构,提出了一种同时适应连续时间扩散和离散时间混合garch - jump模型的模型。该模型的关键特征是相应的条件积分波动率采用混合garch - jump结构,该结构考虑了跳跃对未来波动率的影响。提出了一种格里迪-吉布斯采样法估计参数,并提出了基于峰值超过阈值法的波动率预测和风险值预测。通过仿真验证了所提出方法的有限样本性能,实证研究表明,一般而言,波动性受到持续创新的严重影响,而不是极端反应。我们发现,在大多数情况下,模拟和实证结果都支持所提出的模型。
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来源期刊
CiteScore
17.10
自引率
11.40%
发文量
189
审稿时长
77 days
期刊介绍: The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.
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