کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1140133 | 956713 | 2009 | 8 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Intra-daily information of range-based volatility for MEM-GARCH Intra-daily information of range-based volatility for MEM-GARCH](/preview/png/1140133.png)
Conventional 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.
Journal: Mathematics and Computers in Simulation - Volume 79, Issue 8, April 2009, Pages 2625–2632