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...
| Publicado en: | The Philippine Review of Economics Vol. XL, No. 2 (December 2003), p. [73]-90. |
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| Autor principal: | |
| Formato: | Analytics |
| Lenguaje: | inglés |
| Publicado: |
2003.
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| Materias: | |
| Acceso en línea: | https://forms.gle/KZjBv7aRtY6jiL5E9 |