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 en
ISSN 0003-6846; 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 是
國別 GBR
公開徵稿
出版型式 紙本
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