𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On measuring volatility and the GARCH forecasting performance

✍ Scribed by Emilio Barucci; Roberto Renò


Book ID
117699486
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
184 KB
Volume
12
Category
Article
ISSN
1042-4431

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Performance of GARCH models in forecasti
✍ Choo Wei Chong; Muhammad Idrees Ahmad; Mat Yusoff Abdullah 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 127 KB 👁 2 views

This paper studies the performance of GARCH model and its modi®cations, 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

Daily volatility forecasts: reassessing
✍ David G. McMillan; Alan E. H. Speight 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 90 KB 👁 2 views

## Abstract Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accurate measures and good forecasts of volatility are crucial for the implementation and evaluation of asset and derivative pricing models in addition to trading and hedging strategies. Howe

Forecasting volatility with outliers in
✍ Amélie Charles 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 115 KB

## Abstract In this paper, we detect and correct abnormal returns in 17 French stocks returns and the French index CAC40 from additive‐outlier detection method in GARCH models developed by Franses and Ghijsels (1999) and extended to innovative outliers by Charles and Darné (2005). We study the effe

Volatility forecasting with double Marko
✍ Cathy W. S. Chen; Mike K. P. So; Edward M. H. Lin 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 251 KB

## Abstract This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat‐tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending t