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• W2292304298 abstract "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. Sixteen range measures at eleven data frequencies are tested using Brazilian stock market data. Several measures for assessing the im- provements in the fits were used including the likelihood ratio test, the persistence percentage decrease, and a formal statistical test for comparing forecasts errors from competing models. We found that for both the GARCH and EGARCH models there are always some realized range type at some frequencies bringing information to the volatility process with considerable persistence reduction." @default.
• W2292304298 created "2016-06-24" @default.
• W2292304298 creator A5051692740 @default.
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• W2292304298 date "2016-03-01" @default.
• W2292304298 modified "2023-10-18" @default.
• W2292304298 title "Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil" @default.
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• W2292304298 doi "https://doi.org/10.15728/bbr.2016.13.2.1" @default.
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