Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH‐NIG model
连接 ECU 已实现波动率分布与欧元 ARCH 建模：GARCH-NIG 模型
Abstract This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten‐year sample of five‐minute returns for the ECU basket currencies versus the US dollar, we find that the realized volatilities constructed from the summation of the high‐frequency intraday squared returns conditional on the lagged squared daily returns are approximately Inverse Gaussian (IG) distributed, while the distribution of the daily…