Working paper icon

Working paper

Multivariate high-frequency-based volatility (HEAVY) models

Abstract:

This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate GARCH models. We also discuss their covariance targeting specification and provide closed-form formulas for multi-step forecasts. Estimation and inference strategies are outlined. Empirical results suggest that the HEAVY model outperforms the multivariate GARCH model out-of-sample, with the gains being part...

Expand abstract
Publication status:
Published

Actions


Access Document


Files:

Authors


Publisher:
University of Oxford Publisher's website
Series:
Department of Economics Discussion Paper Series
Publication date:
2011-02-01
Paper number:
533
Keywords:
Pubs id:
1143898
Local pid:
pubs:1143898
Deposit date:
2020-12-15

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP