Coupled GARCH(1,1) model
提出一个耦合GARCH模型，利用期权市场隐含跳跃幅度和盈利日历预测日内与隔夜波动，并在道琼斯工业平均指数上验证了预测准确性。
We introduce a coupled GARCH model for the intraday and overnight volatility, using the implied jump magnitude from option markets and the earnings calendar to model anticipated shocks. We estimate the model on DJIA and report on the accuracy of the forecasts.