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A range-based GARCH model for forecasting financial volatility

Philippine Review of Economics

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Field Value
 
Title A range-based GARCH model for forecasting financial volatility
 
Creator Mapa, Dennis S.; University of the Philippines School of Statistics
University of the Philippines Diliman
Quezon City
 
Subject Volatility; GARCH-PARK-R; QMLE
 
Description A new variant of the ARCH class of models for forecasting the conditional variance, to be called the Generalized AutoRegressive Conditional Heteroskedasticity Parkinson Range (GARCH-PARK-R) model, is proposed. The GARCH-PARK-R model, utilizing the extreme values, is a good alternative to the “realized volatility” model which requires a large amount of intra-daily data that remain relatively costly and are not readily available. The estimates of the GARCH-PARK-R model are derived using the Quasi-Maximum Likelihood Estimation (QMLE). The results suggest that the GARCHPARK- R model is a good middle ground between intra-daily models, such as the realized volatility, and inter-daily models, such as the ARCH class. The forecasting performance of the models is evaluated using the daily Philippine Peso-U.S. Dollar exchange rate from January 1997 to December 2003. JEL classification: C53
 
Publisher Philippine Review of Economics
 
Contributor —
 
Date 2010-09-03
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.econ.upd.edu.ph/pre/index.php/pre/article/view/22
 
Source Philippine Review of Economics; Vol 40, No 2 (2003)
1655-1516
 
Language eng
 
Relation http://www.econ.upd.edu.ph/pre/index.php/pre/article/view/22/567
 
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