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

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题名:	Evaluating and improving GARCH-based volatility forecasts with range-based estimators
作者:	Hung, JC (Hung, Jui-Cheng) Lou, TW (Lou, Tien-Wei) Wang, YH (Wang, Yi-Hsien) Lee, JD (Lee, Jun-De)
贡献者:	Dept Banking & Finance
关键词:	range-based estimators GARCH-based volatility forecasts SPA test C52 C53
日期:	2013-10-01
上传时间:	2014-02-24 15:45:11 (UTC+8)
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.
關聯:	APPLIED ECONOMICS Volume: 45 Issue: 28 Pages: 4041-4049
显示于类别:	[財務金融學系 ] 期刊論文

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