Journal of Applied Econometrics, a world-renowned journal in econometrics, has recently awarded the 2012-2013 Richard Stone Best Paper Prize in Applied Econometrics to Professor Huang Zhuo, Assistant Professor at the National School of Development, Peking University (PKU). Huang Zhuo published his paper “Richard GARCH: A Joint Model for Returns and Realized Measure of Volatility” in September 2012.
Richard Stone Best Paper Prize in Applied Economics was founded in 1991 and is awarded once every two years. It is one of the most significant academic rewards in applied econometrics, and only one Chinese scholar has won this prize before.
Huang Zhuo introduced a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature was a measurement equation that relates the realized measure to the conditional variance of returns. It promises substantial improvements in the empirical fit over standard GARCH models that only use daily returns.
Highly valued by the econometrics field, Huang’s research has been cited by renowned financial econometrics journals for several times. It has already been introduced in many publications and textbooks, and applied by some Wall Street companies in their operations.
By Wang Runjian