Publication
Volatility forecasting with range models: An evaluation of new alternatives to the CARR model
| dc.contributor.author | Miralles Quirós, José Luis | |
| dc.contributor.author | Daza Izquierdo, Julio | |
| dc.date.accessioned | 2012-04-23T12:38:50Z | |
| dc.date.available | 2012-04-23T12:38:50Z | |
| dc.date.issued | 2011-07 | |
| dc.description.abstract | The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.21/1430 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.subject | CARR | por |
| dc.subject | GARCH | por |
| dc.subject | Range estimators | por |
| dc.subject | Forecasting performance | por |
| dc.title | Volatility forecasting with range models: An evaluation of new alternatives to the CARR model | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | XII Iberian-Italian Congress of Financial and Actuarial Mathematics | por |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |