A three-dimensional asymmetric power HEAVY model

Stavroula Yfanti*, Georgios Chortareas, Menelaos Karanasos, Emmanouil Noikokyris

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


This article proposes the three-dimensional HEAVY system of daily, intra-daily, and range-based volatility equations. We augment the bivariate model with a third volatility metric, the Garman–Klass estimator, and enrich the trivariate system with power transformations and asymmetries. Most importantly, we derive the theoretical properties of the multivariate asymmetric power model and explore its finite-sample performance through a simulation experiment on the size and power properties of the diagnostic tests employed. Our empirical application shows that all three power transformed conditional variances are found to be significantly affected by the powers of squared returns, realized measure, and range-based volatility as well. We demonstrate that the augmentation of the HEAVY framework with the range-based volatility estimator, leverage and power effects improves remarkably its forecasting accuracy. Finally, our results reveal interesting insights for investments, market risk measurement, and policymaking.

Original languageEnglish
JournalInternational Journal of Finance and Economics
Publication statusAccepted/In press - 2020


  • asymmetries
  • HEAVY model
  • high-frequency data
  • power transformations
  • realized volatility
  • risk management


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