Chapter
Jul 7, 2014
Forecasting Financial Volatility with Interval-Valued Time Series Data
Authors: Wei Yang, Ai Han [email protected], and Shouyang WangAuthor Affiliations
Publication: Vulnerability, Uncertainty, and Risk: Quantification, Mitigation, and Management
Abstract
In this paper, we propose an interval-based model to capture the dynamics of the range process of asset prices. Particularly, this model is an alternative in forecasting the range-based volatility. By modelling the evolution of interval-valued price process over time, the proposed model utilizes more information than modelling the range process only. In the empirical study, the in-sample and out-of-sample forecasting performances based on the U.S. stock market daily data show that the interval-based model produces more accurate range forecasts than the linear range model.
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Vulnerability, Uncertainty, and Risk: Quantification, Mitigation, and Management
Pages: 1224 - 1233
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© 2014 American Society of Civil Engineers.
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Published online: Jul 7, 2014
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Wei Yang
Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China; School of Mathematical Science, Shanxi University, Taiyuan, Shanxi 030006, China
Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China. E-mail: [email protected]
Shouyang Wang
Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
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