Volatility analysis based on GARCH-type models: Evidence from the Chinese stock market
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We derive a pricing formula for European options for the Realized GARCH framework based
on an analytical approximation using an Edgeworth expansion for the density of cumulative …

This paper proposes to study VIX forecasting based on discrete time GARCH-type model
with observable dynamic jump intensity by incorporating high frequency information (DJI …

Long memory is an important feature of the volatility of financial returns. We document that
the recently developed Realized GARCH model (Hansen et al., 2012) is insufficient for …

This article investigates the crude oil volatility index (OVX) forecasting from the perspective
of cross-market asymmetric effects of Chinese stock market jumps. We calculate six kinds of …

In this paper, we propose the Real-Time Realized GARCH model incorporating the high-
frequency intraday information and current return information simultaneously to model and …

In this paper, we propose the two-component realized EGARCH (REGARCH-2C) model,
which accommodates the high-frequency information and the long memory volatility through …

This paper investigates the role of option-implied risk aversion (IRA) in forecasting the
Chinese stock market volatility. We derive the IRA from the SSE 50ETF option prices using …

From the cross‐market perspective, this paper investigates crude oil volatility index (OVX)
forecasts by proposing a hybrid method, which combines the data‐driven SVR technique …

In this article, we investigate the pricing and convergence of general non-affine non-
Gaussian GARCH-based discretely sampled variance swaps. Explicit solutions for fair strike …