Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil

Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil

This paper investigates whether the inclusion of the realized range as regressor in the (E)GARCH volatility equation would add information to the process improving out - of - sample forecasts performance and providing more accurate estimates of the volatility persistence. Sixte...

Full description

Bibliographic Details
Main Authors: Victor Bello Accioly, Beatriz Vaz de Melo Mendes
Format: Article
Language:English
Published: FUCAPE Business School 2016-01-01
Series:BBR: Brazilian Business Review
Subjects:
garch and egarch models
realized volatility
realized range
volatility forecast
Online Access:http://www.redalyc.org/articulo.oa?id=123044248001

Internet

http://www.redalyc.org/articulo.oa?id=123044248001

Similar Items