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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92654

    Title: Evaluating and improving GARCH-based volatility forecasts with range-based estimators
    Authors: Hung, Jui-Cheng;Lou, Tien-Wei;Wang, Yi-Hsien;Lee, Jun-De
    Contributors: 淡江大學財務金融學系
    Keywords: range-based estimators;GARCH-based volatility forecasts;SPA test
    Date: 2013
    Issue Date: 2013-10-21 16:23:57 (UTC+8)
    Publisher: Abingdon: Routledge
    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 45(28), pp.4041-4049
    DOI: 10.1080/00036846.2012.748179
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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