Economics, Econometrics and Finance
3 years ago

Range-based models outperform traditional methods in predicting market risk during calm periods.

1 view
SSRN Electronic Journal
Are Range Based Models Good Enough? Evidence From Seven Stock Markets
Everton Dockery, Miltiadis Efentakis, Mamdouh Abdulaziz Saleh Al‐Faryan

Paper Summary

Range-based models, like the one by Yang and Zhang (2000), perform well in estimating Value-at-Risk (VaR) during quiet market periods. However, models like EWMA and RiskMetrics are more accurate in capturing market risk overall compared to GARCH and historical simulation methods.

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