Author： Wang Yi-Hsien
Publisher： Taylor & Francis Ltd
ISSN： 0020-7160
Source： International Journal of Computer Mathematics, Vol.85, Iss.11, 2008-11, pp. : 1697-1707
Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.
Abstract
This study presents a new hybrid model that combines the grey forecasting model with the GARCH to improve the variance forecasting ability in variance as compared to the traditional GARCH. A range-based measure of ex post volatility is employed as a proxy for the unobservable volatility process in evaluating the forecasting ability due to true underlying volatility process not being observed. Overall, the results show that the new hybrid model can enhance the volatility forecasting ability of the traditional GARCH.
Related content
Market dynamics and stock price volatility
The European Physical Journal B - Condensed Matter, Vol. 39, Iss. 3, 2004-06 ,pp. :
Access to resources
Recommend
Volatility skews and extensions of the Libor market model
By Andersen Leif Andreasen Jesper
Applied Mathematical Finance, Vol. 7, Iss. 1, 2000-03 ,pp. :
Fuzzy ARIMA model for forecasting the foreign exchange market
By Tseng F.-M. Tzeng G.-H. Yu H.-C. Yuan B.J.C.
Fuzzy Sets and Systems, Vol. 118, Iss. 1, 2001-02 ,pp. :
Amplified imitation in percolation model of stock market
By Makowiec D. Gnacinski P. Miklaszewski W.
Physica A, Vol. 331, Iss. 1, 2004-01 ,pp. :