自回归模型
星型
计量经济学
波动性(金融)
SETAR公司
乘法函数
航程(航空)
非线性自回归外生模型
随机波动
已实现方差
自回归积分移动平均
统计
数学
时间序列
工程类
数学分析
航空航天工程
标识
DOI:10.21314/jor.2020.433
摘要
To capture the "long-memory" effect in volatility, a multiplicative component conditional autoregressive range (MCCARR) model is proposed. We show theoretically that the MCCARR model can capture the long-memory effect well. An empirical study is performed on the Standard & Poor's 500 index, and the results show that the MCCARR model outperforms both conditional autoregressive range and hheterogeneous autoregressive models for in-sample and out-of-sample volatility forecasting.
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