Resource title

A high-low model of daily stock price ranges

Resource image

image for OpenScout resource :: A high-low model of daily stock price ranges

Resource description

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance of incorporating high-low interactions in modeling the range variable. In evaluating the out-of-sample forecast performance using both mean-squared forecast error and direction of change criteria, it is found that the VECM-based low and high forecasts offer some advantages over some alternative forecasts. The VECM-based range forecasts, on the other hand, do not always dominate the forecast rankings depend on the choice of evaluation criterion and the variables being forecasted.

Resource author

Yan-Leung Cheung, Yin-Wong Cheung, Alan Tze Kin Wan

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/26432

Resource license

Adapt according to the presented license agreement and reference the original author.