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AI 解读 ↓
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网络实现 GARCH–Itô 模型:基于高频识别的波动率溢出AI 解读 ↓
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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 realized volatility is first-order equivalent to estimation based on latent integrated volatility. For an unknown network, regularization selects the relevant structure, and, under oracle conditions, a fixed-rank local refit provides conditional inference for model-implied response-based connectedness. In an application to nine U.S. sector ETFs from 2007 to 2025, the model attains the lowest average out-of-sample QLIKE among the reported recursive forecasts, although its advantage over HAR is not statistically significant. In the full sample the weighted LASSO selects an empty sparse support, so inference concerns the rank-one projected factor component; this conditional analysis identifies Energy as a net volatility transmitter. Aggregate connectedness is more stable across volatility measures than individual sparse channels.
已实现网络
Summary We introduce LASSO‐type regularization for large‐dimensional realized covariance estimators of log‐prices. The procedure consists of shrinking the off‐diagonal entries of the inverse realized covariance matrix towards zero. This technique produces covariance estimators that are positive definite and with a sparse inverse. We name the estimator realized network, since estimating a sparse inverse realized covariance matrix is equivalent to detecting the partial…
This paper addresses the debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We construct global minimum variance portfolios based on the constituents of the S&P 500. HF-based covariance matrix predictions are obtained by applying a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting models. We show that HF-based predictions yield a significantly lower portfolio volatility…
路径签名学习有多快?路径回归的统计理论与应用
Many prediction and decision-making problems in operations research involve path-valued covariates -- data that evolve over time -- for which path signatures have become a canonical feature representation. Their use is justified by a universal approximation theorem, but this is an existence result: it guarantees that a finite-level signature can approximate any continuous path functional, without quantifying how fast the approximation error decreases as the truncation level…
具有社群网络结构的高维多变量已实现波动率预测
We introduce the Community Network Heterogeneous Autoregressive model with Quarticity (CNHARQ), a novel framework that integrates network-based information to enhance the forecasting of multivariate realized volatilities. To address the curse of dimensionality, we propose a Correlation-Based Stochastic Block Model (CBSBM) to uncover latent community structures from the correlation network of realized volatilities of N assets. This approach reduces the number of unknown…
基于惩罚已实现方差的高维二次变差估计
In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle idea of regularization from linear regression to covariance estimation in a continuous-time high-frequency setting. We show that under a nuclear norm penalization, the PRV is computed by soft-thresholding the eigenvalues of realized variance (RV). It therefore encourages sparsity of singular values…
重尾高频金融观测下的因子与特异性 VAR 波动率矩阵模型
This paper introduces a novel process for both factor and idiosyncratic volatility matrices whose eigenvalues follow the vector auto-regressive (VAR) model. We call it the factor and idiosyncratic VAR (FIVAR) model. The FIVAR model accounts for the dynamics of the factor and idiosyncratic volatilities and includes many parameters. In addition, many empirical studies have shown that high-frequency stock returns and volatilities often exhibit heavy tails. To handle these two…