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...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Victor Bello Accioly, Beatriz Vaz de Melo Mendes
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2016
Materias:	garch and egarch models realized volatility realized range volatility forecast Business HF5001-6182
Acceso en línea:	https://doaj.org/article/19a9c533c7304103827b89d6309a0f9b
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:19a9c533c7304103827b89d6309a0f9b
record_format	dspace
spelling	oai:doaj.org-article:19a9c533c7304103827b89d6309a0f9b2021-11-11T15:48:06ZAssessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil1807-734Xhttps://doaj.org/article/19a9c533c7304103827b89d6309a0f9b2016-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123044248001https://doaj.org/toc/1807-734XThis 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. Sixteen range measures at eleven data frequencies are tested using Brazilian stock market data. Several measures for assessing the improvements in the fits were used including the likelihood ratio test, the persistence percentage de crease, and a formal statistical test for comparing forecasts errors from competing models. We found that for both the GARCH and EGARCH models there are always some realized range type at some frequencies bringing information to the volatility process with considerable persistence reduction.Victor Bello AcciolyBeatriz Vaz de Melo MendesFUCAPE Business Schoolarticlegarch and egarch modelsrealized volatilityrealized rangevolatility forecastBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 13, Iss 2, Pp 1-26 (2016)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	garch and egarch models realized volatility realized range volatility forecast Business HF5001-6182
spellingShingle	garch and egarch models realized volatility realized range volatility forecast Business HF5001-6182 Victor Bello Accioly Beatriz Vaz de Melo Mendes Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil
description	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. Sixteen range measures at eleven data frequencies are tested using Brazilian stock market data. Several measures for assessing the improvements in the fits were used including the likelihood ratio test, the persistence percentage de crease, and a formal statistical test for comparing forecasts errors from competing models. We found that for both the GARCH and EGARCH models there are always some realized range type at some frequencies bringing information to the volatility process with considerable persistence reduction.
format	article
author	Victor Bello Accioly Beatriz Vaz de Melo Mendes
author_facet	Victor Bello Accioly Beatriz Vaz de Melo Mendes
author_sort	Victor Bello Accioly
title	Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil
title_short	Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil
title_full	Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil
title_fullStr	Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil
title_full_unstemmed	Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil
title_sort	assessing the impact of the realized range on the (e)garch volatility: evidence from brazil
publisher	FUCAPE Business School
publishDate	2016
url	https://doaj.org/article/19a9c533c7304103827b89d6309a0f9b
work_keys_str_mv	AT victorbelloaccioly assessingtheimpactoftherealizedrangeontheegarchvolatilityevidencefrombrazil AT beatrizvazdemelomendes assessingtheimpactoftherealizedrangeontheegarchvolatilityevidencefrombrazil
_version_	1718433877227208704

Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil

Ejemplares similares