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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
FUCAPE Business School
2016-01-01
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| Series: | BBR: Brazilian Business Review |
| Subjects: | |
| Online Access: | http://www.redalyc.org/articulo.oa?id=123044248001 |