Intra-daily information of range-based volatility for MEM-GARCH
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AbstractConventional GARCH modeling formulates an additive-error mean equation for daily return and an autoregressive moving-average specification for its conditional variance, without much consideration on the effects of intra-daily data. Using Engle's multiplicative-error model (MEM) formulation, range-based volatility is proposed as an intraday proxy for several GARCH frameworks. The performances of these different approaches for two 8-year market data sets: the S&P 500 and the NASDAQ composite index, are studied and compared. The impact of significant changes in intraday data has been found to reflect in the MEM-GARCH volatility. For some frameworks it is also possible to use lagged values of range-based volatility to delay the intraday effects in the conditional variance estimation. (C) 2009 IMACS. Published by Elsevier B.V. All rights reserved.
All Author(s) ListLam KP, Ng HS
Journal nameMathematics and Computers in Simulation
Year2009
Month4
Day1
Volume Number79
Issue Number8
PublisherElsevier
Pages2625 - 2632
ISSN0378-4754
eISSN1872-7166
LanguagesEnglish-United Kingdom
KeywordsGARCH; Multiplicative error model; Volatility forecasting
Web of Science Subject CategoriesComputer Science; Computer Science, Interdisciplinary Applications; COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS; Computer Science, Software Engineering; COMPUTER SCIENCE, SOFTWARE ENGINEERING; Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED

Last updated on 2020-04-08 at 02:45