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 their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...
