Improving Predictive Ability of Volatility Models with High-frequency Data
碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === This paper augments the GARCH models with the PK range, realized volatility (RV), realized range volatility (RRV) and realized bipower variation (RBP). We investigate the impact of these volatility estimators by examining their out-of-sample forecast-improved. Th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31489465225509572597 |