Time-Varying Parameters Realized HAR GARCH with the Weighted Modified Information Volatility and Its Empirical Analysis

XIANG Lin, CHEN Yufeng, HU Hao

Journal of Systems Science and Mathematical Sciences ›› 2024, Vol. 44 ›› Issue (7) : 2060-2087.

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Journal of Systems Science and Mathematical Sciences ›› 2024, Vol. 44 ›› Issue (7) : 2060-2087. DOI: 10.12341/jssms22834

Time-Varying Parameters Realized HAR GARCH with the Weighted Modified Information Volatility and Its Empirical Analysis

  • XIANG Lin1,2, CHEN Yufeng1, HU Hao1,2
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of System Science and Mathematical Science Chinese Series, 2024, 44(7): 2060-2087 https://doi.org/10.12341/jssms22834

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