Hierarchical Markov normal mixture models with applications to financial asset returns

Forecasting financial volatility of the

Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model

✍ Anastassios A. Drakos; Georgios P. Kouretas; Leonidas P. Zarangas 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 235 KB 👁 1 views

## Abstract In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion