教師資料查詢 | 類別: 期刊論文 | 教師: 洪瑞成 HUNG,JUI-CHENG (瀏覽個人網頁)

標題:Evaluating and improving GARCH-based volatility forecasts with range-based estimators
學年101
學期1
出版(發表)日期2013/01/01
作品名稱Evaluating and improving GARCH-based volatility forecasts with range-based estimators
作品名稱(其他語言)
著者Hung, Jui-Cheng; Lou, Tien-Wei; Wang, Yi-Hsien; Lee, Jun-De
單位淡江大學財務金融學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Economics 45(28), pp.4041-4049
摘要This article investigates the feasibility of using range-based estimators to evaluate and improve Generalized Autoregressive Conditional Heteroscedasticity (GARCH)-based volatility forecasts due to their computational simplicity and readily availability. The empirical results show that daily range-based estimators are sound alternatives for true volatility proxies when using Superior Predictive Ability (SPA) test of Hansen (2005) to assess GARCH-based volatility forecasts. In addition, the inclusion of the range-based estimator of Garman and Klass (1980) can significantly improve the forecasting performance of GARCH-t model.
關鍵字range-based estimators; GARCH-based volatility forecasts; SPA test
語言英文
ISSN0003-6846; 1466-4283
期刊性質國外
收錄於SSCI
產學合作
通訊作者Hung, Jui-Cheng
審稿制度
國別英國
公開徵稿
出版型式紙本
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