英文文献：Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility-已实现的GARCH:一个完整的回报模型和已实现的波动度量
英文文献作者：Peter Reinhard Hansen,Zhuo (Albert) Huang,Howard Howan Shek
英文文献摘要：
GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a realized measure of volatility in these models. In this paper we introduce a new framework for the joint modeling of returns and realized measures of volatility. The Realized GARCH framework nests most GARCH models as special cases and is, in many ways, a natural extension of standard GARCH models. We pay special attention to linear and log-linear Realized GARCH specifications. This class of models has several attractive features. It retains the simplicity and tractability of the classical GARCH framework; it implies an ARMA structure for the conditional variance and realized measures of volatility; and models in this class are parsimonious and simple to estimate. A key feature of the Realized GARCH framework is a measurement equation that relates the observed realized measure to latent volatility. This equation facilitates a simple modeling of the dependence between returns and future volatility that is commonly referred to as the leverage effect. An empirical application with DJIA stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads to substantial improvements in the empirical fit over to the standard GARCH model. This is true in-sample as well as out-of-sample. Moreover, the point estimates are remarkably similar across the different time series.

GARCH模型成功地模拟了财务回报。尽管如此，在这些模型中纳入已实现的波动度量，仍将获得很多好处。在本文中，我们介绍了一个新的框架联合建模的收益和实现的衡量波动。已实现的GARCH框架将大多数GARCH模型巢化为特殊情况，并且在许多方面是标准GARCH模型的自然扩展。我们特别关注线性和对数线性实现的GARCH规格。这类模型有几个吸引人的特点。它保留了古典GARCH框架的简单和可处理性;它暗示了一个ARMA结构的条件方差和实现的衡量波动;这门课的模型都很简单，易于估计。已实现的GARCH框架的一个关键特征是一个度量方程，它将观察到的已实现度量与潜在挥发性联系起来。这个等式促进了一个简单的模型之间的依赖的回报和未来波动，这通常被称为杠杆效应。通过对道琼斯工业股票和交易所交易指数基金的实证应用表明，简单实现的GARCH结构使得对标准GARCH模型的实证拟合得到显著改善。这在样本内和样本外都成立。此外，不同时间序列的点估计非常相似。