How Volatile Tomorrow is? Forecasting the Technical Range with Moving Average Range Switching (MARS) Model
How Volatile Tomorrow is? Forecasting the Technical Range with Moving Average Range Switching (MARS) Model

Summary/Abstract: Many models have been proposed to describe the market volatility, however, no academic literature is so far available to answer such question as how volatile tomorrow is: is it more turbulent or less? This paper attempts to fill the gap by proposing the Moving Average Range Switching (MARS) Model. Out-of-Sample forecasts using S&P500, CAC40, and NIKKEI225 daily index data demonstrate that the MARS does provide some sharp dominance of MARS over CARR in range switching forecast.

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