Network Realized GARCH--Itô Models: Volatility Spillovers with High-Frequency Identification
网络实现 GARCH–Itô 模型:基于高频识别的波动率溢出
We introduce a network realized GARCH-Itô model in which volatility transmission is a dynamic relation among the latent daily integrated volatilities of multiple assets. An unknown directed and signed network is embedded in a continuous-time variance process and appears in the resulting exponential daily recursion. Intraday returns identify integrated volatility and hence the network that governs its propagation. For a fixed network template, feasible estimation based on…