Risk

Range-based volatility forecasting: an extended conditional autoregressive range model

This paper proposes an extended conditional autoregressive range (EXCARR) model to describe the range-based volatility dynamics of financial assets. Our EXCARR model not only takes the conditional ...
Investopedia

What Are Autoregressive Models? How They Work and Example

Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...
Investopedia

Master ARIMA: Your Guide to Time Series Forecasting

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
Simon Fraser University

MODEL Statement

The MODEL statement specifies the dependent variable and independent regressor variables for the regression model. If no independent variables are specified in the MODEL statement, only the mean is ...
Drexel University

Epidemiology and Biostatistics Dissertation Defense: Guangzi Song

Guangzi Song, MS, will present "Estimation of the Informativeness of the Conditional Autoregressive Model Framework with Applications" The use of the conditional autoregressive (CAR) model framework ...
Risk

Range-based volatility forecasting: a multiplicative component conditional autoregressive range model

To capture the "long-memory" effect in volatility, a multiplicative component conditional autoregressive range (MCCARR) model is proposed. We show theoretically that the MCCARR model can capture the ...