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Sponsored AI AM CLAUDE, A Beginner's Guide: Learn the basics of working with AI AI AM CLAUDE, A Beginner's Guide: Learn the basics of working with AI

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S. Zhou

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Open access Sep 2026

Continuous and Jump Variation in GARCH-MIDAS: Component Allocation and Volatility Forecasting

This paper develops a generalized autoregressive conditional heteroskedasticity–mixed data sampling model with continuous and jump components (GARCH-MIDAS-CJ). It aligns the continuous–jump (CJ) decomposition of realized volatility with the long-run–short-run multiplicative structure. The model places block-smoothed da...

Ming-Xu Li, S. Zhou · 0 citations

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