Volatility forecasting using threshold heteroskedastic models of the intra-day range

DOI10.1016/j.csda.2007.08.002zbMath1452.62748MaRDI QIDQ1023630

Edward M. H. Lin, Cathy W. S. Chen, Richard H. Gerlach

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.08.002

zbMATH Keywords

MCMC methods; volatility model; Bayes inference; conditional autoregressive range (CARR) model; size and sign asymmetry; threshold variable

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility, Forecasting risk via realized GARCH, incorporating the realized range, A new approach to fitting the three-parameter Weibull distribution: An application to glass ceramics, Forecasting trade durations via ACD models with mixture distributions, On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws, On generalised asymmetric stochastic volatility models, Bayesian estimation and inference for log-ACD models, Implied volatility in oil markets, Editorial: Special issue on statistical and computational methods in finance, Estimation and inference for exponential smooth transition nonlinear volatility models, A Bayesian conditional autoregressive geometric process model for range data, Long memory and nonlinearities in realized volatility: a Markov switching approach, Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals, Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model, Control Chart for Monitoring Autocorrelated Process with Multiple Exogenous Inputs

Uses Software

• FinTS

Cites Work

• Unobserved component models with asymmetric conditional variances
• Comparison of nonnested asymmetric heteroskedastic models
• Regime-switching Pareto distributions for ACD models
• Generalized autoregressive conditional heteroscedasticity
• Markov chains for exploring posterior distributions. (With discussion)
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modeling the Asymmetry of Stock Movements Using Price Ranges
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On Gibbs sampling for state space models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Quadratic ARCH Models
• Equation of State Calculations by Fast Computing Machines
• ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS
• Monte Carlo sampling methods using Markov chains and their applications
• Analysis of Financial Time Series