Hung, Jui-Cheng; Ni, Ren-Xi; Chang, Matthew C. - In: Economics Bulletin 29 (2009) 4, pp. 2592-2604
In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing … the S&P500 stock index. The results indicate that combining VIX and range-based volatilities into GARCH-type model can …