2021•SSRN Electronic JournalOpen access

Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility

Yashuang Ding

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Key concepts: Volatility (finance), Forward volatility, Volatility swap, Volatility risk premium, Stochastic volatility, Autoregressive conditional heteroskedasticity, Volatility smile, Econometrics

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Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility — Research Paper | ScholarLens