Topics in Theoretical and Applied Statistics

Abstract

We introduce a new class of models that extends the Realized GARCH models ofHansen et al. (J Appl Econom 27:877–906, 2012, [10]). Our model gener- alizes the original specification of Hansen et al. (J Appl Econom 27:877–906, 2012, [10]). along three different directions. First, it features a time varying volatility per- sistence. Namely, the shock response coefficient in the volatility equation adjusts to the time varying accuracy of the associated realized measure. Second, our frame- work allows to consider, in a parsimonious way, the inclusion of multiple realized measures. Finally, it allows for heteroskedasticity of the noise component in the mea- surement equation. The appropriateness of the proposed class ofmodels is appraised by means of an application to a set of stock returns data.