Hung, Jui-Cheng; Lou, Tien-Wei; Wang, Yi-Hsien; Lee, Jun-De - In: Applied Economics 45 (2013) 28, pp. 4041-4049
This article investigates the feasibility of using range-based estimators to evaluate and improve Generalized Autoregressive Conditional Heteroscedasticity (GARCH)-based volatility forecasts due to their computational simplicity and readily availability. The empirical results show that daily...
