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High-low range in GARCH models of stock return volatility

Molnár, Peter - In: Applied economics 48 (2016) 49/51, pp. 4977-4991

Persistent link: https://www.econbiz.de/10011641414

Robust estimation of the range-based GARCH model : forecasting volatility, value at risk and expected shortfall of cryptocurrencies

Fiszeder, Piotr; Małecka, Marta; Molnár, Peter - In: Economic modelling 141 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015191454

Forecasting volatility of the US oil market

Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of banking & finance 47 (2014), pp. 1-14

Persistent link: https://www.econbiz.de/10010506517

Volatility forecasting of non-ferrous metal futures : covariances, covariates or combinations?

Lyócsa, Štefan; Molnár, Peter; Todorova, Neda - In: Journal of international financial markets, … 51 (2017), pp. 228-247

Persistent link: https://www.econbiz.de/10011896310

Implied volatility index for the Norwegian equity market

Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141

Persistent link: https://www.econbiz.de/10011624091

Forecasting exchange rate volatility : the case of the Czech Republic, Hungary and Poland

Lyócsa, Štefan; Molnár, Peter; Fedorko, Igor - In: Finance a úvěr 66 (2016) 5, pp. 453-475

Persistent link: https://www.econbiz.de/10011582491

High-Low Range in GARCH Models of Stock Return Volatility

Molnár, Peter - 2016

We suggest a simple and general way to improve the GARCH volatility models using the intraday range between the highest and the lowest price to proxy volatility. We illustrate the method by modifying a GARCH(1,1) model to a Range-GARCH(1,1) model. Our empirical analysis conducted on stocks,...

Persistent link: https://www.econbiz.de/10012996290

Asymmetric volatility in equity markets around the world

Horpestad, Jone B.; Lyócsa, Štefan; Molnár, Peter; … - In: The North American journal of economics and finance : a … 48 (2019), pp. 540-554

Persistent link: https://www.econbiz.de/10012120304

Stock market volatility forecasting : do we need high-frequency data?

Lyócsa, Štefan; Molnár, Peter; Výrost, Tomáš - In: International journal of forecasting 37 (2021) 3, pp. 1092-1110

Persistent link: https://www.econbiz.de/10012794812

Forecasting volatility of Bitcoin

Bergsli, Lykke Øverland; Lind, Andrea Falk; Molnár, Peter - In: Research in international business and finance 59 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013402137