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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
FUCAPE Business School
2016-01-01
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| Series: | BBR: Brazilian Business Review |
| Subjects: | |
| Online Access: | http://www.redalyc.org/articulo.oa?id=123044248001 |
| _version_ | 1797250477615742976 |
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| author | Victor Bello Accioly Beatriz Vaz de Melo Mendes |
| author_facet | Victor Bello Accioly Beatriz Vaz de Melo Mendes |
| author_sort | Victor Bello Accioly |
| collection | DOAJ |
| description | 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. Sixteen range measures at eleven data frequencies are tested using Brazilian stock market data. Several measures for assessing the improvements in the fits were used including the likelihood ratio test, the persistence percentage de crease, and a formal statistical test for comparing forecasts errors from competing models. We found that for both the GARCH and EGARCH models there are always some realized range type at some frequencies bringing information to the volatility process with considerable persistence reduction. |
| first_indexed | 2024-03-07T20:27:05Z |
| format | Article |
| id | doaj.art-19a9c533c7304103827b89d6309a0f9b |
| institution | Directory Open Access Journal |
| issn | 1807-734X |
| language | English |
| last_indexed | 2024-04-24T20:47:00Z |
| publishDate | 2016-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj.art-19a9c533c7304103827b89d6309a0f9b2024-03-21T19:30:18ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2016-01-01132126Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from BrazilVictor Bello AcciolyBeatriz Vaz de Melo MendesThis 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. Sixteen range measures at eleven data frequencies are tested using Brazilian stock market data. Several measures for assessing the improvements in the fits were used including the likelihood ratio test, the persistence percentage de crease, and a formal statistical test for comparing forecasts errors from competing models. We found that for both the GARCH and EGARCH models there are always some realized range type at some frequencies bringing information to the volatility process with considerable persistence reduction.http://www.redalyc.org/articulo.oa?id=123044248001garch and egarch modelsrealized volatilityrealized rangevolatility forecast |
| spellingShingle | Victor Bello Accioly Beatriz Vaz de Melo Mendes Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil BBR: Brazilian Business Review garch and egarch models realized volatility realized range volatility forecast |
| title | Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil |
| title_full | Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil |
| title_fullStr | Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil |
| title_full_unstemmed | Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil |
| title_short | Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil |
| title_sort | assessing the impact of the realized range on the e garch volatility evidence from brazil |
| topic | garch and egarch models realized volatility realized range volatility forecast |
| url | http://www.redalyc.org/articulo.oa?id=123044248001 |
| work_keys_str_mv | AT victorbelloaccioly assessingtheimpactoftherealizedrangeontheegarchvolatilityevidencefrombrazil AT beatrizvazdemelomendes assessingtheimpactoftherealizedrangeontheegarchvolatilityevidencefrombrazil |