Financial volatility forecasting with range-based autoregressive volatility model

Hongquan Li and Yongmiao Hong

Finance Research Letters, 2011, vol. 8, issue 2, 69-76

Abstract: The classical volatility models, such as GARCH, are return-based models, which are constructed with the data of closing prices. It might neglect the important intraday information of the price movement, and will lead to loss of information and efficiency. This study introduces and extends the range-based autoregressive volatility model to make up for these weaknesses. The empirical results consistently show that the new model successfully captures the dynamics of the volatility and gains good performance relative to GARCH model.

Keywords: Volatility; modeling; Price; range; Forecasting; performance; Intraday; information; GARCH (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612310000681
Full text for ScienceDirect subscribers only

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:eee:finlet:v:8:y:2011:i:2:p:69-76

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().