- 期刊
Forecasting the One-period-ahead Volatility of the International Stock Indices: GARCH Model vs. GM(1,1)-GARCH Model
並列摘要
In this paper, we propose a hybrid model, denoted as GM(1,1)-GARCH, that combines the grey forecasting model with the GARCH model to enhance the one-step-ahead variance forecasting ability as compared to the traditional GARCH model. Due to the trite underlying volatility process is not observed, a range-based measure of ex post volatility is employed as a proxy for the unobservable volatility process in evaluating the forecasting ability. Four international stock indices are illustrated to carry out the empirical investigation, and out-of-sample periods are divided into all data, up-trending and down-trending ones. The results indicate that the one-step-ahead variance forecasts produced by GM(1,1)-GARCH(1,1) model have higher R^2 and lower MAE, RMSE and MAPE for most cases as compared to GARCH(1,1) model. As a whole, this results provides the evidences that the hybrid GM(1,1)-GARCH model could enhance one-period-ahead volatility forecasting ability of the traditional GARCH model.
被引用紀錄
延伸閱讀
- Charef, F. (2017). Modeling the Volatility of Exchange Rates: GARCH Models. Academic Journal of Economic Studies, 3(1), 39-47. https://www.airitilibrary.com/Article/Detail?DocID=P20150925001-201703-201704070001-201704070001-39-47
- 樓克望（2012）。FORECASTING VOLATILITY IN RUSSIA STOCK MARKET A COMPARISON OF ALTERNATIVE DISTRIBUTION ASSUMPTION AND GARCH MODEL〔碩士論文，國立臺北大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0023-1506201215501100
- Shi, X., Liu, S., Lee, C. T., & Fan, Y. (2022). Estimating Indices Volatility of China's Stock Exchange Using GARCH Model. In Dhurakij Pundit University (Ed.), DPU international conference on business innovation and social sciences 2022 (pp. 1-9). Dhurakij Pundit University. https://doi.org/10.29754/caicictbs.202205.0001
- 林子強（2015）。Using GARCH Models to for modeling Exchange Rate Volatility：Empirical Evidence from G7 Currencies〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU.2015.10218
- Lolea, I. (2017). Where did the GARCH Models Perform Best in Terms of Volatility Forecasting? Equity vs. Commodities Markets. Academic Journal of Economic Studies, 3(3), 79-86. https://www.airitilibrary.com/Article/Detail?DocID=P20150925001-201709-201801120016-201801120016-79-86