Volatility forecasting with range-based EGARCH models

Journal of Business and Economic Statistics

Volumn 24, Issue 4, 2006, Pages 470-486

  Brandt, Michael W ^a   Jones, Christopher S ^b  

^a DUKE UNIVERSITY   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Exponential generalized autoregressive conditional heteroscedasticity; High low volatility estimator; Long memory in volatility; Multifactor volatility

Indexed keywords

EID: 33750515224     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000206     Document Type: Article

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