A0415
Title: Nonlinear market dynamics: Range-based hysteretic volatility modeling
Authors: Edward Meng-Hua Lin - Tunghai University (Taiwan) [presenting]
Abstract: The hysteretic threshold conditional autoregressive range model (HTARR model) is introduced, integrating the hysteretic structure into the range-based volatility models. By using the proposed model, nonlinear structures that are more consistent with changes in market volatility are captured, and the performance necessary for effective market volatility prediction is obtained. Bayesian methods are employed to estimate the model's unknown parameters, and simulation studies are conducted to validate its feasibility. Furthermore, the model's performance is evaluated and compared with other volatility models through the analysis and prediction of intra-day range data from eight financial markets.
