---
title: Overnight GARCH-Itô Models
url: https://www.ml-quant.com/papers/ssrn/4523600/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4523600
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4523600
featured: 2023-08-02
citations: unknown
topic: Econometrics & Forecasting
---


# Overnight GARCH-Itô Models

The paper presents a unified factor overnight GARCH-Itô Models model for estimating and predicting large volatility matrices, suggesting a weighted least squares estimation procedure with a nonparametric factor volatility estimator.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4523600
- Identifier: SSRN 4523600
- Released: 2023-01-31
- First featured: Quant Letter No. 10 (2023-08-02): https://www.ml-quant.com/issues/2023-08-02/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Econometrics & Forecasting

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