Momentum Deviation: A New Volatility Estimator

• Main Authors: Wong, Men-Wei, 翁孟瑋
• Other Authors: Chou, Yeu-Tien
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/x22f29

碩士 === 國立交通大學 === 財務金融研究所 === 104 === This study proposes a new volatility Estimator named momentum deviation which combines the advantages of both return and range measure. We develop two different momentum deviation volatility models called GARCH-MD and CARR-MD based on the Generalized Autoregressive Conditional Heteroskedasticity model (GARCH) and the Conditional Autoregressive Range model (CARR) which allows separate dynamic structures for the positive and negative momentum of assets prices. By using stock market index data including AORD, DAX, FTSE, Heng Seng, Nikkei225 and S&P500, we show that the GARCH-MD and the CARR-MD do provide sharper volatility estimates compared with GARCH and CARR model in our out-of-sample volatility forecasts.