Realized GARCH

[tbeason]

How much of a pain would it be to try to implement Realized GARCH models, or should that go in a different package? My gut feelings suggest that they are just different enough that it would be a pain to try to fit them in with the existing code here.

https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.1234

[azev77]

Hansen has really nice slides where he shows RealizedGarch/EGarch is a generalization of Garch/EGarch.
Since ARCHModels.jl is the main such Julia package it seems natural to include Realized Garch unless @s-broda doesn't think there is any demand.

Hansen's slides 28-29 include a model zoo w/ 16 ARCH models & this package already has most of them...

[tbeason]

The thing that seems difficult to adapt into the existing code base is that the existing implementations only have one observable (returns). Long term, I think you are right that the Realized GARCH variants should live in this package, but to me it looks like it could require significant effort.

[s-broda]

I do think that this package would be a natural place for realised GARCH to live. Indeed one would need to add the plumbing for a second observable in the likelihood etc. I'm unlikely to find the time for that soon, but would be happy to accept PRs

[waynelapierre]

Any progress?

[s-broda]

Not yet