We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the ...

In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...

In this paper, the authors examine the effects of measurement errors on volatility measures. This is done by first expressing the moment properties of general volatility models with measurement errors ...

In this paper we extend the conditional autoregressive range (CARR) model to the asymmetric CARR mixed data sampling (ACARR-MIDAS) model, which takes into consideration volatility asymmetry as well as ...