Estimate model parameters for the Realized GARCH-Ito Model with Options
RealizedEst_Option(RV = RV, JV = NULL, NV = NULL, homogeneous = TRUE)Time series of daily realized volatilities.
Time series of daily jump variations,
Time series of daily volatilities estimated using option data
Whether to assume homogeneous error in the linear regression model between conditional volatility of the realized GARCH-Ito model and volatility estimated from the option data, default is TRUE.
Estimated parameter values and daily conditional volatilities:
parameter estimates of the realized GARCH-Ito model
daily conditional volatility estimates of the realized GARCH-Ito model
one-step-ahead predicted volatility value
Song, X., Kim, D., Yuan, H., Cui, X., Lu, Z., Zhou, Y., & Wang, Y. (2020). Volatility Analysis with Realized GARCH-Ito Models. Journal of Econometrics, in press.