| Title: | Evaluating and improving GARCH-based volatility forecasts with range-based estimators |
| Authors: | Hung, JC (Hung, Jui-Cheng)
Lou, TW (Lou, Tien-Wei)
Wang, YH (Wang, Yi-Hsien)
Lee, JD (Lee, Jun-De) |
| Contributors: | Dept Banking & Finance |
| Keywords: | range-based estimators
GARCH-based volatility forecasts
SPA test
C52
C53 |
| Date: | 2013-10-01 |
| Issue Date: | 2014-02-24 15:45:11 (UTC+8) |
| Abstract: | 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. |
| Relation: | APPLIED ECONOMICS Volume: 45 Issue: 28 Pages: 4041-4049 |
| Appears in Collections: | [Department of Banking & Finance ] periodical articles
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