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...

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I whakaputaina i:	The Philippine Review of Economics Vol. XL, No. 2 (December 2003), p. [73]-90.
Kaituhi matua:	Mapa, Dennis S. (Author)
Hōputu:	Analytics
Reo:	Ingarihi
I whakaputaina:	2003.
Ngā marau:	Time series analysis. Econometrics. Foreign exchange rates > Statistical methods.
Urunga tuihono:	https://forms.gle/KZjBv7aRtY6jiL5E9