A range-based GARCH model for forecasting financial volatility

A range-based GARCH model for forecasting financial volatility

A new variant of the ARCH class of models for forecasting the conditional variance, to be called the Generalized AutoRegressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) model, is proposed. The GARCH-PARK-R model, utilizing the extreme values, is a good alternative to the ?realiz...

Full description

Bibliographic Details
Published in:The Philippine Review of Economics Vol. XL, No. 2 (December 2003), p. [73]-90.
Main Author: Mapa, Dennis S. (Author)
Format: Analytics
Language:English
Published: 2003.
Subjects:
Time series analysis.
Econometrics.
Foreign exchange rates > Statistical methods.
Online Access:https://forms.gle/KZjBv7aRtY6jiL5E9