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Journal of Time Series Econometrics

Editor-in-Chief: Hidalgo, Javier


CiteScore 2018: 0.20

SCImago Journal Rank (SJR) 2018: 0.323
Source Normalized Impact per Paper (SNIP) 2018: 0.291

Mathematical Citation Quotient (MCQ) 2018: 0.03

Online
ISSN
1941-1928
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HYBRID GARCH Models and Intra-Daily Return Periodicity

Xilong Chen / Eric Ghysels / Fangfang Wang
Published Online: 2011-02-03 | DOI: https://doi.org/10.2202/1941-1928.1095

We use the HYBRID GARCH model of Chen, Ghysels, and Wang (2009) to predict future volatility at daily horizons using intra-daily returns. The latter requires us to address intra-daily periodic patterns. We propose two approaches and compare their relative merits. The first approach uses raw intra-daily data—with the HYBRID process capturing the intra-daily periodic patterns—whereas the second approach involves pre-adjusted intra-daily returns. We find that the former approach dominates both in-sample and out-of-sample, although for different HYBRID GARCH model specifications.

Keywords: HYBRID; GARCH; periodicity; intra-daily returns; intra-daily returns

About the article

Published Online: 2011-02-03


Citation Information: Journal of Time Series Econometrics, Volume 3, Issue 1, ISSN (Online) 1941-1928, DOI: https://doi.org/10.2202/1941-1928.1095.

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©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston.Get Permission

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