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
Mixture distribution-based forecasting using stochastic volatility models
โ Scribed by A. E. Clements; S. Hurn; S. I. White
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 167 KB
- Volume
- 22
- Category
- Article
- ISSN
- 1524-1904
- DOI
- 10.1002/asmb.647
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