Financial volatility forecasting with range-based autoregressive volatility model

Finance Research Letters

Volumn 8, Issue 2, 2011, Pages 69-76

  Li, Hongquan ^a,b   Hong, Yongmiao ^b,c  

^a HUNAN NORMAL UNIVERSITY   (China)

^b Cornell University ^*  (United States)

^c XIAMEN UNIVERSITY   (China)

Author keywords

Forecasting performance; GARCH; Intraday information; Price range; Volatility modeling

Indexed keywords

EID: 79956111461     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2010.12.002     Document Type: Article

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