The nonparametric GARCH model estimation using intraday high-frequency data

Pub Date : 2024-07-11 DOI:10.1080/03610918.2024.2374900
Fangrou Chai, Xingfa Zhang, Yuan Li, Yanshan Chen
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Abstract

Most of nonparametric GARCH models typically employ daily frequency data to forecast the returns, correlations, and risk indicators of financial assets, without incorporating alternative frequency ...
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利用盘中高频数据估算非参数 GARCH 模型
大多数非参数 GARCH 模型通常采用日频率数据来预测金融资产的收益、相关性和风险指标,而不采用替代频率数据。
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