| RealizedEst_Option {GARCHIto} | R Documentation |
Realized GARCH-Ito Model with Options
Description
Estimate model parameters for the Realized GARCH-Ito Model with Options
Usage
RealizedEst_Option(RV = RV, JV = NULL, NV = NULL, homogeneous = TRUE)
Arguments
RV |
Time series of daily realized volatilities. |
JV |
Time series of daily jump variations, |
NV |
Time series of daily volatilities estimated using option data |
homogeneous |
Whether to assume homogeneous error in the linear regression model between conditional volatility of the realized GARCH-Ito model and volatility estimated from the option data, default is TRUE. |
Value
Estimated parameter values and daily conditional volatilities:
- coefficients
parameter estimates of the realized GARCH-Ito model
- sigma
daily conditional volatility estimates of the realized GARCH-Ito model
- pred
one-step-ahead predicted volatility value
References
Song, X., Kim, D., Yuan, H., Cui, X., Lu, Z., Zhou, Y., & Wang, Y. (2020). Volatility Analysis with Realized GARCH-Ito Models. Journal of Econometrics, in press.