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...
| الحاوية / القاعدة: | The Philippine Review of Economics Vol. XL, No. 2 (December 2003), p. [73]-90. |
|---|---|
| المؤلف الرئيسي: | |
| التنسيق: | Analytics |
| اللغة: | الإنجليزية |
| منشور في: |
2003.
|
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://forms.gle/KZjBv7aRtY6jiL5E9 |