Dataset Groups Activity Stream 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. BibTex: @dataset{Donggyu_Kim_and_Minseok_Shin_and_Yazhen_Wang_2025, abstract = {The dataset used in the paper is a high-frequency financial data dataset, which includes log-prices and microstructure noise.}, author = {Donggyu Kim and Minseok Shin and Yazhen Wang}, doi = {10.57702/1t3fktpl}, institution = {No Organization}, keyword = {'GARCH models', 'high-frequency data', 'volatility estimation'}, month = {jan}, publisher = {TIB}, title = {Overnight GARCH-Itˆo Volatility Models}, url = {https://service.tib.eu/ldmservice/dataset/overnight-garch-it-o-volatility-models}, year = {2025} }
