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Applied Economics Volume 48, 2016 - Issue 51
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Original Articles

High-low range in GARCH models of stock return volatility

Peter MolnárDepartment of Industrial economics and Technology Management, Norwegian University of Science and Technology (NTNU), Trondheim, NorwayCorrespondence[email protected]
Pages 4977-4991 | Published online: 07 Apr 2016

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Prokash Deb, Madan Mohan Dey & Prasanna Surathkal. (2022) Fish price volatility dynamics in Bangladesh. Aquaculture Economics & Management 26:4, pages 462-482.
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Zheng-Zheng Li, Chi-Wei Su & Meng Nan Zhu. (2022) How Does Uncertainty Affect Volatility Correlation between Financial Assets? Evidence from Bitcoin, Stock and Gold. Emerging Markets Finance and Trade 58:9, pages 2682-2694.
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Zhi De Khoo, Kok Haur Ng, You Beng Koh & Kooi Huat Ng. (2024) Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. The North American Journal of Economics and Finance 71, pages 102112.
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Sneha S. Bagalkot, Dinesha H. A & Nagaraj Naik. (2024) Novel grey wolf optimizer based parameters selection for GARCH and ARIMA models for stock price prediction. PeerJ Computer Science 10, pages e1735.
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Shay Kee Tan, Kok Haur Ng & Jennifer So-Kuen Chan. (2022) Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models. Mathematics 11:1, pages 13.
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Yu-Sheng Lai. (2022) Improving hedging performance by using high–low range. Finance Research Letters 48, pages 102975.
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Gianluca De Nard, Robert F. Engle, Olivier Ledoit & Michael Wolf. (2022) Large dynamic covariance matrices: Enhancements based on intraday data. Journal of Banking & Finance 138, pages 106426.
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I. Lukasevich. (2022) Assessment and modeling of volatility in the Russian stock market: empirical study. Management and Business Administration:1, pages 134-149.
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Farman Ali, Pradeep Suri, Tarunpreet Kaur & Deepa Bisht. (2022) Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. F1000Research 11, pages 1098.
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Wajdi Moussa, Nidhal Mgadmi, Azza Béjaoui & Rym Regaieg. (2021) Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model. Resources Policy 74, pages 102416.
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Chih-Wen Hsiao, Ya-Chuan Chan, Mei-Yu Lee & Hsi-Peng Lu. (2021) Heteroscedasticity and Precise Estimation Model Approach for Complex Financial Time-Series Data: An Example of Taiwan Stock Index Futures before and during COVID-19. Mathematics 9:21, pages 2719.
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Chengbo Fu. (2021) Time-Varying Risk and the Relation between Idiosyncratic Risk and Stock Return. Journal of Risk and Financial Management 14:9, pages 432.
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Nagaraj Naik & Biju R. Mohan. (2021) Stock Price Volatility Estimation Using Regime Switching Technique-Empirical Study on the Indian Stock Market. Mathematics 9:14, pages 1595.
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Štefan Lyócsa, Neda Todorova & Tomáš Výrost. (2021) Predicting risk in energy markets: Low-frequency data still matter. Applied Energy 282, pages 116146.
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Fuzuli Aliyev, Richard Ajayi & Nijat Gasim. (2020) Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100. The Journal of Economic Asymmetries 22, pages e00167.
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Jui-Cheng Hung, Hung-Chun Liu & J. Jimmy Yang. (2020) Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. The North American Journal of Economics and Finance 52, pages 101165.
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Piotr Fiszeder, Marcin Fałdziński & Peter Molnár. (2019) Range-based DCC models for covariance and value-at-risk forecasting. Journal of Empirical Finance 54, pages 58-76.
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Piotr Fiszeder & Marcin Fałdziński. (2019) Improving forecasts with the co-range dynamic conditional correlation model. Journal of Economic Dynamics and Control 108, pages 103736.
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Adam Zaremba. (2019) Price range and the cross-section of expected country and industry returns. International Review of Financial Analysis 64, pages 174-189.
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Gábor Petneházi & József Gáll. (2019) Exploring the predictability of range‐based volatility estimators using recurrent neural networks. Intelligent Systems in Accounting, Finance and Management 26:3, pages 109-116.
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Dwi A S Wahyuni, Sutarman Wage & Ateng Hartono. (2018) Volatility in GARCH Models of Business Tendency Index. IOP Conference Series: Materials Science and Engineering 300, pages 012033.
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Gianluca De Nard, Robert F. Engle, Olivier Ledoit & Michael Wolf. (2020) Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data. SSRN Electronic Journal.
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Dimitrios I. Vortelinos & Konstantinos Gkillas. (2017) International Announcements and WTI Crude Oil Futures: Evidence from the 2008 Crisis Period. SSRN Electronic Journal.
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