Forecasting realized range volatility: a regime-switching approach

Feng Ma, Li Liu, Zhichao Liu and Yu Wei

Applied Economics Letters, 2015, vol. 22, issue 17, 1361-1365

Abstract: In this study, we introduce the regime changes to the heterogeneous autoregressive realized range-based volatility model (HAR-RRV). The different regimes are specified depending on the expectations of volatility of RRV volatility. Our out-of-sample findings indicate that considering regime switching can significantly improve the forecasting accuracy of volatility models.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2015.1031867 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:22:y:2015:i:17:p:1361-1365

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2015.1031867

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().