The generalized auto regressive conditional heteroskedasticity Parkinson range ( Garch-Park-R) model for forecasting financial volatility

The generalized auto regressive conditional heteroskedasticity Parkinson range ( Garch-Park-R) model for forecasting financial volatility

Abstract (A new variant of the ARCH class of models for forecasting the conditional variance, to be called the Generalized AutoRegressive model, is proposed. The GARCH-PARK-R model, utilizing the extreme values, is a good alternative to the Realized Volatility that requires a large amount of intra-...

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Bibliographic Details
Main Author: Mapa, Claire Dennis S.
Format: Thesis
Language:English
Published: 2004.
Subjects:
Time series analysis.
Econometrics.
Foreign exchange rates > Statistical methods.