Volatility analysis with realized GARCH-Itô models
基于已实现GARCH–Itô模型的波动率分析
This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump–diffusion and discrete-time realized GARCH model by embedding the discrete realized GARCH structure in the continuous instantaneous volatility process. The key feature of the proposed model is that the corresponding conditional daily integrated volatility adopts an autoregressive structure, where both integrated volatility and jump variation…