๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Energy markets volatility modelling using GARCH

โœ Scribed by Efimova, Olga; Serletis, Apostolos


Book ID
125428392
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
613 KB
Volume
43
Category
Article
ISSN
0140-9883

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Forecasting stock market volatility usin
โœ Philip Hans Franses; Dick Van Dijk ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 444 KB ๐Ÿ‘ 2 views

In this paper we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng, 1993) and the Glosten, Jagannathan and Runkle (1992) models which have been proposed to describe, for exampl