Forecasting Financial Volatility Using Intraday Information

摘要：

This study introduces and extends the range-based autoregressive volatility (henceforth, AV) model to properly model the dynamics of return volatility. The traditional ARCH-type model is also adopted as a benchmark. Therefore, two types of volatility models are discussed and estimated: return-based GARCH models and range-based AV models. Examination of in-sample and out-of-sample volatility forecasts reveals that the AV model consistently outperforms the GARCH model. Our findings confirm that extreme-value volatility can retain its superiority in forecasting volatility by properly modeling the dynamic process. It would be beneficial to encompass intraday information especially price range to do volatility forecasting and risk management in financial markets.

关键词： volatiity model intraday information price range

作者: Hongquan Li

作者单位: College of Business, Hunan Normal University,Changsha, P.R.China, 410081

会议类型: 国际会议

会议名称: 2010 IEEE International Conference on Advanced Management Science(2010年IEEE高级管理科学国际会 IEEE ICAMS 2010)

会议地点: 成都

会议语种:英文

页码: 518-521

在线出版日期: 2010-07-09（万方平台首次上网日期，不代表论文的发表时间）