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A range-based GARCH model for forecasting financial volatility

A new variant of the ARCH class of models for forecasting the conditional variance, to be called the Generalized AutoRegressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) model, is proposed. The GARCH-PARK-R model, utilizing the extreme values, is a good alternative to the ?realiz...

Täydet tiedot

Bibliografiset tiedot
Julkaisussa:The Philippine Review of Economics Vol. XL, No. 2 (December 2003), p. [73]-90.
Päätekijä: Mapa, Dennis S. (Tekijä)
Aineistotyyppi: Analytics
Kieli:englanti
Julkaistu: 2003.
Aiheet:
Time series analysis.
Econometrics.
Foreign exchange rates > Statistical methods.
Linkit:https://forms.gle/KZjBv7aRtY6jiL5E9