標題: | Forecasting financial volatilities with extreme values: The Conditional Autoregressive Range (CARR) Model |
作者: | Chou, RY 經營管理研究所 Institute of Business and Management |
關鍵字: | CARR;high/low range;extreme values;GARCH;ACD |
公開日期: | 1-六月-2005 |
摘要: | We propose a dynamic model for the high/low range of asset prices within fixed time intervals: the Conditional Autoregressive Range Model (henceforth CARR). The evolution of the conditional range is specified in a fashion similar to the conditional variance models as in GARCH and is very similar to the Autoregressive Conditional Duration (ACD) model of Engle and Russell (1998). Extreme value theories imply that the range is an efficient estimator of the local volatility, e.g., Parkinson (1980). Hence, CARR can be viewed as a model of volatility. Out-of-sample volatility forecasts using the S&P500 index data show that the CARR model does provide sharper volatility estimates compared with a standard GARCH model. |
URI: | http://dx.doi.org/10.1353/mcb.2005.0027 http://hdl.handle.net/11536/14403 |
ISSN: | 0022-2879 |
DOI: | 10.1353/mcb.2005.0027 |
期刊: | JOURNAL OF MONEY CREDIT AND BANKING |
Volume: | 37 |
Issue: | 3 |
起始頁: | 561 |
結束頁: | 582 |
顯示於類別: | 期刊論文 |