๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Forecasting volatility in the Chinese stock market under model uncertainty

โœ Scribed by Li, Yong; Huang, Wei-Ping; Zhang, Jie


Book ID
121724485
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
184 KB
Volume
35
Category
Article
ISSN
0264-9993

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Performance of GARCH models in forecasti
โœ Choo Wei Chong; Muhammad Idrees Ahmad; Mat Yusoff Abdullah ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 127 KB ๐Ÿ‘ 2 views

This paper studies the performance of GARCH model and its modiยฎcations, using the rate of returns from the daily stock market indices of the Kuala Lumpur Stock Exchange (KLSE) including Composite Index, Tins Index, Plantations Index, Properties Index, and Finance Index. The models are stationary GAR

Optimal sampling frequency for volatilit
โœ Malay Bhattacharyya; Dileep Kumar M; Ramesh Kumar ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 192 KB

## Abstract This paper evaluates the performance of conditional variance models using highโ€frequency data of the National Stock Index (S&P CNX NIFTY) and attempts to determine the optimal sampling frequency for the best daily volatility forecast. A linear combination of the realized volatilities ca