Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model

This paper proposes an extension of the classical CARR model, the ACARR-MIDAS model, to model volatility and capture the volatility asymmetry as well as

Related Keywords

,Generalised Autoregressive Conditional Heteroscedasticity Garch ,Stock Market ,Forecasting ,Stochastic Volatility ,Original Research ,