Asset management – improving portfolio risk forecasts and volatility modeling. Exotic options trading – enabling faster calibration of volatility surfaces and complex pricing models. Financial returns ...
In an extension to our initial HAR-RV model, we include a Realized GARCH model (GARCH-x), which is simply a GARCH(1,1) with a Realized Volatility measure as an additional exogeneous variable; in this ...
Abstract: Wind power forecasting is one of the most important aspects for power system with integration of wind power. In this work, Component GARCH-M (CGARCH-M) model is presented for short-term wind ...
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