Volatility modelling using range-based measures and weighted exogenous threshold CARR model
Three volatility measures including the squared returns and range based Parkinson and Garman Klass were applied to estimate the financial volatility. These measures are then fitted to conditional autoregressive range (CARR) models and its weighted exogenous threshold extensions using generalised Bet...
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2019
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| Online Access: | http://eprints.um.edu.my/21699/1/Kok-haur%20Ng%20-%20Conference%20paper.pdf |