Range-Based (Parkinson) GARCH

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joshy_29
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Joined: Tue Apr 20, 2010 5:11 am

Range-Based (Parkinson) GARCH

Postby joshy_29 » Fri May 28, 2010 3:22 am

Hi I am trying to incorporate a range (high low) in forecasting volatility using GARCH. Can anyone suggest a good reading material regarding (book) this topic. Can anyone verify if its as easy as using the range ln(high/low) as the input in the GARCH model? Thanks
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