TY  - GEN
T1  - A range-based GARCH model for forecasting financial volatility
JF  - The Philippine Review of Economics
A1  - Mapa, Dennis S.
LA  - English
YR  - 2003
UL  - https://tuklas.up.edu.ph/Record/UP-1685594773862408558
AB  - 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 ?realized volatility? model which requires a large amount of intra-daily data that remain relatively costly and are not readily available. The estimates of the GARCH-PARK-R model are derived using the Quasi-Maximum Likelihood Estimation (QMLE). The results suggest that the GARCHPARK- R model is a good middle ground between intra-daily models, such as the realized volatility, and inter-daily models, such as the ARCH class. The forecasting performance of the models is evaluated using the daily Philippine Peso-U.S. Dollar exchange rate from January 1997 to December 2003.
NO  - Title was 'Philippine Review of Business and Economics' until 1979. Title changed to 'Philippine Review of Economics and Business' from 1980-2000, and again changed to 'Philippine Review of Economics' since 2001.
CN  - ARTICLE-2910
KW  - Time series analysis.
KW  - Econometrics.
KW  - Foreign exchange rates : Statistical methods.
ER  -