Modelling volatility with range-based heterogeneous autoregressive conditional heteroskedasticity model

• Autorzy: Tomasz Skoczylas
• Języki publikacji: EN

Abstrakty

EN

In this paper a new ARCH-type volatility model is proposed. The Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity (RHARCH) model draws inspiration from Heterogeneous Autoregressive Conditional Heteroskedasticity presented by Muller et al., (1995, pp. 213-239), but employs more efficient, range-based volatility estimators instead of simple squared returns in a conditional variance equation. In the first part of this research range-based volatility estimators (such as Parkinson, or Garman-Klass estimators) are reviewed, followed by derivation of the RHARCH model. In the second part of this research the RHARCH model is compared with selected ARCH-type models with particular emphasis on forecasting accuracy. All models are estimated with a maximum likelihood method using data containing EURPLN spot rate quotation. Results show that RHARCH model often outperforms return-based models in terms of predictive abilities in both in-sample and out-of-sample periods. Also properties of standardized residuals are very encouraging in the case of the RHARCH model. (original abstract)

Słowa kluczowe

EN

Variability; Mathematical modeling; Autoregression models

PL

Zmienność; Modelowanie matematyczne; Modele autoregresji

• Czasopismo: Journal of Management and Financial Sciences
• Rocznik: 2014
• Tom: 7
• Numer: nr 16
• Strony: 9--21

Twórcy

autor

Tomasz Skoczylas

• Uniwersytet Warszawski

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