Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil
This paper investigates whether the inclusion of the realized range as regressor in the (E)GARCH volatility equation would add information to the process improving out - of - sample forecasts performance and providing more accurate estimates of the volatility persistence. Sixte...
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| Auteurs principaux: | , |
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| Format: | article |
| Langue: | EN PT |
| Publié: |
FUCAPE Business School
2016
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| Sujets: | |
| Accès en ligne: | https://doaj.org/article/19a9c533c7304103827b89d6309a0f9b |
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