Rapid development in the computer technology has made the financial transaction data visible at an ultimate limit level. The realized volatility, as a proxy for the ”true” volatility, can be constructed using the high frequency data. This paper extends a threshold stochastic volatility specification proposed in So, Li and Lam (2002) by incorporating the high frequency volatility measures. Due t...

In this paper, we suggest how to handle the issue of heteroskedasticity measurement errors when specifying dynamic models for conditional expectation realized variance. We show that either adding a GARCH correction within an asymmetric extension HAR class ( AHAR - ), or working multiplicative error AMEM ) greatly reduces need quarticity/quadratic terms capture attenuation bias. This feature in ...

This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump–diffusion and discrete-time realized GARCH model by embedding discrete structure in continuous instantaneous volatility process. The key feature of proposed is corresponding conditional daily integrated adopts an autoregressive structure, where jump variation se...