Overnight GARCH-Itô Volatility Models
针对高频交易数据在收盘到开盘期间缺失的问题，提出基于Itô扩散的隔夜波动率模型，分别刻画开盘-收盘和收盘-开盘两个时段的瞬时波动过程，并开发加权最小二乘估计方法。
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trading data are not available during the close-to-open period, the volatility models often ignore volatility information over the close-to-open period and thus may suffer from loss of important information relevant to market dynamics. In this article, to account for whole-day market dynamics, we propose an overnight volatility model based on Itô diffusions to accommodate two different instantaneous volatility processes for the open-to-close and close-to-open periods. We develop a weighted least squares method to estimate model parameters for two different periods and investigate its asymptotic properties.