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...
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | article |
| Lenguaje: | EN PT |
| Publicado: |
FUCAPE Business School
2016
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/19a9c533c7304103827b89d6309a0f9b |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Sea el primero en dejar un comentario!