Predicting returns, volatilities and correlations of stock indices using multivariate conditional autoregressive Range and return models

• Main Authors: Tan, Shay Kee, Ng, Kok Haur, Chan, Jennifer So-Kuen
• Format: Article
• Published: MDPI 2023
• Subjects: Q Science (General); QA Mathematics
• Online Access: http://eprints.um.edu.my/39121/

This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets. The first stage model fits the scaled realised Parkin...