Volatility Forecasting With Range-Based EGARCH Models

By Michael W. Brandt, Christopher S. Jones. 2006

279 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/531e14f9f75533ded1517d4f15a18151c92127c6

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Citations in the corpus

Glossary to ARCH (GARCH) (2008, methodology): “The REGARCH model of Brandt and Jones (2006) postulates an EGARCH-type formulation for the conditional mean of the demeaned standardized logarithmic range.”
Forecasting: theory and practice (2020, methodology): “e than the forecasts from standard GARCH models based on closing prices (see, for example, Mapa, 2003 for the GARCH-PARK-R model; Chou, 2005 for the CARR model; Fiszeder, 2005 for the GARCH-TR model; Brandt and Jones, 2006 for the REGARCH model; Chen et al., 2008 for the TARR model; Lin et al., 2012”
Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction (2013, unknown): “The essence of equations (9)-(10) is to state that the optimal α-quantile combination is the linear combination of quantiles q̂1,t and q̂2,t, given by the weights (λ0, λ1, λ2), that minimizes the conditional expected ‘tick’ loss over Λ.”
Comparison of Volatility Measures: A Risk Management Perspective (2010, unknown): “5 evidence of good forecasting performance of the models exploiting this indicator (c.f. Alizadeh, Brandt & Diebold (2002), Chou (2005), Brandt & Jones (2006), Engle & Gallo (2006), Ghysels et al. (2006), Christensen & Podolskij (2006)).”
Forecasting time-varying covariance with a range-based dynamic conditional correlation model (2009, background): “Studies that provide supporting evidence include Parkinson (1980), Garman and Klass (1980), Wiggins (1991), Rogers and Satchell (1991), Kunitomo (1992) and, more recently, Gallant, Hsu, and Tauchen (1999), Yang and Zhang (2000), Alizadeh, Brandt, and Diebold (2002), Brandt and Jones (2005), Chou (20”
VOLATILITY AND CORRELATION FORECASTING (2006, background): “However, Brandt and Jones (2002) show that using intraday information improves the longer horizon forecasts considerably.”
Properties of Range-Based Volatility Estimators (2012, unknown): “From simulated high, low and close log-prices h, l, c we estimate volatility according to (7), (13), (15), (16), (20) and calculate mean of the square root of these volatility estimates.”
Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (2012, methodology): “This estimator has been used since the seminal paper of Nelson [29] for estimating the EGARCH(1,1) model without any theoretical justification, see for example [10].”