Since 2014
A comparison and empirical study in forecasting abilities of dynamic volatility models
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
A comparison and empirical study in forecasting abilities of dynamic volatility models
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| Creator |
Ray Y. Chou
Chun-Chou Wu Nathan Liu |
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| Subject |
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| Description |
ARCH/GARCH family models have become popular in forecasting volatilities since the 1980fs. In this paper we compare the empirical performance of the CARR model by Chou(2003) with the GARCH model. The CARR model effectively provides a dynamic structure for the range data which is more informative than conventional standpoint. Using the Taiwan Stock Exchange Capitalization Weighted Stock Index, the CARR model outperforms than GARCH model both in in-sample and out-of-sample forecasts of weekly stock market volatilities. Our results are consistent with that of Chou(2003) where the CARR model has better forecast abilities than the GARCH model based on S&P500 Index data. We also find significant evidence of the existence of a leverage effect in the Taiwan stock market. Keywords: CARR model, GARCH model, Range, Volatility and Leverage effect.
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Contributor |
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| Date |
2011-06-10
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| Type |
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011156
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| Source |
Journal of Financial Studies; Vol 12, No 1 (2004); 1
財務金èžå¸åˆŠ; Vol 12, No 1 (2004); 1 |
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