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Forecasting Daily Volatility Using Range-based Data

23 Nov 2010

Article by: Yuanfang Wang, Matthew C. Roberts
Published by: The Ohio State University
Date: 1 Aug 2004

“Users of agricultural markets frequently need to establish accurate representations of expected future volatility. The fact that range-based volatility estimators are highly efficient has been acknowledged in the literature. However, it is not clear whether using range-based data leads to better risk management decisions. This paper compares the performance of GARCH models, range-based GARCH models, and log-range based ARMA models in terms of their forecasting abilities. The realized volatility will be used as the forecasting evaluation criteria. The conclusion helps establish an efficient forecasting framework for volatility models.”

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