Evaluating and improving GARCH-based volatility forecasts with range-based estimators

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/26718

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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