Volatility modelling using range-based measures and weighted exogenous threshold CARR model

Ng, Kok Haur (2019) Volatility modelling using range-based measures and weighted exogenous threshold CARR model. In: 3rd International Conference on Econometrics and Statistics (EcoSta 2019), 25-27 June 2019, National Chung Hsing University, Taichung, Taiwan.

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Official URL: http://cmstatistics.org/EcoSta2019/

Abstract

Three volatility measures including the squared returns and range based Parkinson and Garman Klass were applied to estimate the financial volatility. These measures are then fitted to conditional autoregressive range (CARR) models and its weighted exogenous threshold extensions using generalised Beta type two distribution. The daily All Ordinaries index is studied by fitting the three volatility measures to the two types of CARR models and compare their model performances. Results show that the Garman Klass measure fitted to weighted exogenous threshold CARR model gives the best in-sample model fit based on Akaike information criterion. Different levels of value-at-risk are also provided.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Conference paper
Uncontrolled Keywords: Conditional autoregressive range (CARR) models; volatility measures; weighted exogenous
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics
Divisions: Faculty of Science
Faculty of Science > Institute of Mathematical Sciences
Depositing User: Mr. Mohd Safri
Date Deposited: 06 Aug 2019 06:26
Last Modified: 06 Aug 2019 06:26
URI: http://eprints.um.edu.my/id/eprint/21699

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