Title: Flexible realized GARCH models
Authors: Richard Gerlach - University of Sydney (Australia)
Antonio Naimoli - University of Salerno (Italy)
Giuseppe Storti - University of Salerno (Italy) [presenting]
Abstract: A new class of flexible Realized GARCH models is introduced. Our model generalizes the original specification along three different directions. First, it features a time varying volatility persistence. Namely, the shock response coefficient in the volatility equation adjusts to the time varying accuracy of the associated realized measure. Second, our framework allows us to consider, in a parsimonious way, the inclusion of multiple realized measures. Finally, it allows for heteroskedasticity of the noise component in the measurement equation. The appropriateness of the proposed class of models is appraised by means of an application to a set of stock returns data.