| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481786 | Physica A: Statistical Mechanics and its Applications | 2012 | 11 Pages |
Abstract
⺠A scaled RV measure is taken as the proxy of actual daily volatility. ⺠The GARCH-type, SV and RV models are compared by SPA tests. ⺠Intraday data can be used to construct accurate volatility forecasting models.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yu Wei,