Volatility forecasting with range models: An evaluation of new alternatives to the CARR model

• Autores: José Luis Miralles Quirós, Julio Daza Izquierdo
• Localización: XII Iberian-Italian Congress of Financial and Actuarial Mathematics: 7th to 9th JulY 2011 Lisbon Portugal / José Luis Miralles Marcelo (dir. congr.), 2011, págs. 1-25
• Idioma: español
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• Resumen

  • The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities.