{"id":"https://openalex.org/W2305344809","doi":"https://doi.org/10.1080/00036846.2016.1170929","title":"High-low range in GARCH models of stock return volatility","display_name":"High-low range in GARCH models of stock return volatility","publication_year":2016,"publication_date":"2016-04-07","ids":{"openalex":"https://openalex.org/W2305344809","doi":"https://doi.org/10.1080/00036846.2016.1170929","mag":"2305344809"},"language":"en","primary_location":{"id":"doi:10.1080/00036846.2016.1170929","doi":"https://doi.org/10.1080/00036846.2016.1170929","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036846.2016.1170929","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074679618","display_name":"P\u00e9ter Moln\u00e1r","orcid":"https://orcid.org/0000-0003-1354-0113","observed_orcids":["https://orcid.org/0000-0003-1354-0113"]},"institutions":[{"id":"https://openalex.org/I204778367","display_name":"Norwegian University of Science and Technology","ror":"https://ror.org/05xg72x27","country_code":"NO","type":"education","lineage":["https://openalex.org/I204778367"]}],"countries":["NO"],"is_corresponding":true,"raw_author_name":"Peter Moln\u00e1r","raw_affiliation_strings":["Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology NTNU, Trondheim, Norway"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology NTNU, Trondheim, Norway","institution_ids":["https://openalex.org/I204778367"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5074679618"],"corresponding_institution_ids":["https://openalex.org/I204778367"],"apc_list":null,"apc_paid":null,"fwci":5.0103,"has_fulltext":false,"cited_by_count":71,"citation_normalized_percentile":{"value":0.94539746,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"48","issue":"51","first_page":"4977","last_page":"4991"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/range-based-volatility","display_name":"range-based volatility","score":0.7680000066757202},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.652999997138977},{"id":"https://openalex.org/keywords/stock-return-volatility","display_name":"stock return volatility","score":0.8759999871253967},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.9559999704360962},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.8080000281333923},{"id":"https://openalex.org/keywords/stock-market-indices","display_name":"stock market indices","score":0.7009999752044678}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7740037441253662},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6298282146453857},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.620985746383667},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6199398636817932},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.49017009139060974},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.48054343461990356},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4721130132675171},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4152454733848572},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.06569409370422363},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/00036846.2016.1170929","doi":"https://doi.org/10.1080/00036846.2016.1170929","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036846.2016.1170929","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:applec:v:48:y:2016:i:51:p:4977-4991","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/00036846.2016.1170929","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W124040795","https://openalex.org/W1545599178","https://openalex.org/W1967873618","https://openalex.org/W1979575715","https://openalex.org/W1979799704","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2018090882","https://openalex.org/W2049749511","https://openalex.org/W2052775749","https://openalex.org/W2061160212","https://openalex.org/W2069964730","https://openalex.org/W2070267658","https://openalex.org/W2071806063","https://openalex.org/W2126735336","https://openalex.org/W3123984009","https://openalex.org/W3123985237","https://openalex.org/W3125666236","https://openalex.org/W4235061998","https://openalex.org/W4239754684","https://openalex.org/W4248735792","https://openalex.org/W4291327732"],"related_works":["https://openalex.org/W2133636296","https://openalex.org/W4387420191","https://openalex.org/W2386388690","https://openalex.org/W2754684021","https://openalex.org/W4399400207","https://openalex.org/W7120841495","https://openalex.org/W2910027471","https://openalex.org/W2284763420","https://openalex.org/W1993181591","https://openalex.org/W1536062925"],"abstract_inverted_index":{"We":[0,27],"suggest":[1],"a":[2,33,37],"simple":[3],"and":[4,20,48,70],"general":[5],"way":[6],"to":[7,24,36],"improve":[8],"the":[9,14,18,21,29,53,60],"GARCH":[10],"volatility":[11],"models":[12],"using":[13],"intraday":[15],"range":[16],"between":[17],"highest":[19],"lowest":[22],"price":[23],"proxy":[25],"volatility.":[26],"illustrate":[28],"method":[30],"by":[31],"modifying":[32],"GARCH(1,1)":[34,62],"model":[35,55,63],"range-GARCH(1,1)":[38,54],"model.":[39],"Our":[40],"empirical":[41],"analysis":[42],"conducted":[43],"on":[44],"stocks,":[45],"stock":[46],"indices":[47],"simulated":[49],"data":[50],"shows":[51],"that":[52],"performs":[56],"significantly":[57],"better":[58],"than":[59],"standard":[61],"both":[64],"in":[65],"terms":[66],"of":[67],"in-sample":[68],"fit":[69],"out-of-sample":[71],"forecasting":[72],"ability.":[73]},"counts_by_year":[{"year":2026,"cited_by_count":6},{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":15},{"year":2021,"cited_by_count":10},{"year":2020,"cited_by_count":9},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2025-10-10T00:00:00"}