Tseng, Tseng-Chan; Chung, Huimin; Huang, Chin-Sheng - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 3, pp. 1671-1671
In this study, we use the 'heterogeneous autoregressive' (HAR) model and replace all squared returns with a squared range to estimate realized range-based volatility (RRV) forecasts for oil futures prices. Our findings demonstrate that the HAR-RRV models, involving volatility measures with a...