QUANTILE FORECASTS OF FINANCIAL RETURNS USING REALIZED GARCH MODELS
β Scribed by TOSHIAKI WATANABE
- Book ID
- 111102583
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 319 KB
- Volume
- 63
- Category
- Article
- ISSN
- 1352-4739
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π 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 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