Overnight GARCH-Itô Volatility Models

Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because trading are not available during the close-to-open period, often ignore information over period thus may suffer from loss of important relevant In this article, account whole-day dynamics, we propose an overnight model based on Itô diffusions accommodate two different instantaneous processes open-to-close periods. We develop a weighted least squares method estimate parameters periods investigate its asymptotic properties.