학술저널
This paper compares GARCH(1.1) model and GARCH-X models using realized kernel and implied volatility. We consider stock index returns of FTSE, CAC and DAX. It is shown that, for the within-sample fitting, most GARCH-X models are better than GARCH(1.1) model. Comparing implied volatility and realized kernel in the GARCH-X model, the GARCH-X model using realized kernel is generally better than the GARCH-X model using implied volatility in the within-sample fitting. However, for out-of-sample forecasting, GARCH-X models using properly powered implied volatility outperform the GARCH-X model using realized kernel.
Abstract
Ⅰ. 서론
Ⅱ. 자료 및 모형 설명
Ⅲ. 추정 및 평가
Ⅳ. 예측 및 평가
Ⅴ. 결론
참고문헌
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