Intra-daily information of range-based volatility for MEM-GARCH

DOI10.1016/J.MATCOM.2008.12.007zbMath1162.91526OpenAlexW2019181553MaRDI QIDQ1025346

H. S. Ng, K. P. Lam

Publication date: 18 June 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.12.007

zbMATH Keywords

GARCHvolatility forecastingmultiplicative error model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A multiple indicators model for volatility using intra-daily data
• Estimating variance from high, low and closing prices
• Power Variation and Time Change
• Modeling and Forecasting Realized Volatility
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

This page was built for publication: Intra-daily information of range-based volatility for MEM-GARCH