Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts
โ Scribed by Pilbeam, Keith; Langeland, Kjell Noralf
- Book ID
- 121833532
- Publisher
- Springer-Verlag
- Year
- 2014
- Tongue
- English
- Weight
- 483 KB
- Volume
- 12
- Category
- Article
- ISSN
- 1612-4804
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๐ SIMILAR VOLUMES
## Abstract Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for do
## Abstract In this paper, we detect and correct abnormal returns in 17 French stocks returns and the French index CAC40 from additiveโoutlier detection method in GARCH models developed by Franses and Ghijsels (1999) and extended to innovative outliers by Charles and Darnรฉ (2005). We study the effe