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Financial volatility forecasting with range-based autoregressive volatility model

  • Li, Hongquan
  • Hong, Yongmiao
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    The classical volatility models, such as GARCH, are return-based models, which are constructed with the data of closing prices. It might neglect the important intraday information of the price movement, and will lead to loss of information and efficiency. This study introduces and extends the range-based autoregressive volatility model to make up for these weaknesses. The empirical results consistently show that the new model successfully captures the dynamics of the volatility and gains good performance relative to GARCH model.

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    Article provided by Elsevier in its journal Finance Research Letters.

    Volume (Year): 8 (2011)
    Issue (Month): 2 (June)
    Pages: 69-76

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    Handle: RePEc:eee:finlet:v:8:y:2011:i:2:p:69-76
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