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Article

Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect

School of Statistics and Data Science, Nanjing Audit University, No. 86 Yushan Western Road, Nanjing 211815, China
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Author to whom correspondence should be addressed.
Mathematics 2025, 13(9), 1506; https://doi.org/10.3390/math13091506
Submission received: 1 April 2025 / Revised: 29 April 2025 / Accepted: 30 April 2025 / Published: 2 May 2025
(This article belongs to the Section E5: Financial Mathematics)

Abstract

To describe the stylized features of volatility comprehensively, this paper embeds the time-varying leverage effect of volatility into the Realized Generalized AutoRegressive Conditional Heteroskedasticity (RG) model and proposes a new volatility model with a time-varying leverage effect. The Quasi-Maximum Likelihood-Kernel (QML-K) method is proposed to approximate the density function of returns and to estimate the parameters in the new model. Under some mild regularity conditions, the asymptotic properties of the resulting estimators are achieved. Simulation studies demonstrate that the proposed model yields better performances than traditional RG models under different situations. Finally, the empirical analysis shows better finite sample performance of the estimation method and the new model on real data compared with existing methods.
Keywords: volatility model; time-varying leverage effect; realized GARCH model; semiparametric estimation volatility model; time-varying leverage effect; realized GARCH model; semiparametric estimation

Share and Cite

MDPI and ACS Style

Lin, J.; Mao, Y.; Hao, H.; Liu, G. Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. Mathematics 2025, 13, 1506. https://doi.org/10.3390/math13091506

AMA Style

Lin J, Mao Y, Hao H, Liu G. Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. Mathematics. 2025; 13(9):1506. https://doi.org/10.3390/math13091506

Chicago/Turabian Style

Lin, Jinguan, Yizhi Mao, Hongxia Hao, and Guangying Liu. 2025. "Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect" Mathematics 13, no. 9: 1506. https://doi.org/10.3390/math13091506

APA Style

Lin, J., Mao, Y., Hao, H., & Liu, G. (2025). Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. Mathematics, 13(9), 1506. https://doi.org/10.3390/math13091506

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