Range-based and GARCH volatility estimation: Evidence from the French asset market

Noureddine Benlagha () and Sana Chargui

Global Finance Journal, 2017, vol. 32, issue C, 149-165

Abstract: This paper aims to measure and compare French stock and bond market volatilities using various range-based volatility estimators and conditional heteroskedasticity models. Particularly, we measure volatility for stock returns related to five major companies operating in different sectors and four French bonds with different maturity dates and different reference indices.

Keywords: Volatility; Assets; Range-based volatility; GARCH models (search for similar items in EconPapers)
JEL-codes: G13 G19 L61 Q02 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165

DOI: 10.1016/j.gfj.2016.04.001

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