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Overnight GARCH-Itˆo Volatility Models

The dataset used in the paper is a high-frequency financial data dataset, which includes log-prices and microstructure noise.

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Cite this as

Donggyu Kim, Minseok Shin, Yazhen Wang (2025). Dataset: Overnight GARCH-Itˆo Volatility Models. https://doi.org/10.57702/1t3fktpl

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Additional Info

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Created January 3, 2025
Last update January 3, 2025
Defined In https://doi.org/10.48550/arXiv.2102.13467
Author Donggyu Kim
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Minseok Shin
Yazhen Wang