Volatility and VaR forecasting in the Madrid Stock Exchange
✍ Scribed by Trino-Manuel Ñíguez
- Book ID
- 106276311
- Publisher
- Springer
- Year
- 2007
- Tongue
- English
- Weight
- 532 KB
- Volume
- 10
- Category
- Article
- ISSN
- 1435-5469
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili
## ABSTRACT In recent years, considerable attention has focused on modelling and forecasting stock market volatility. Stock market volatility matters because stock markets are an integral part of the financial architecture in market economies and play a key role in channelling funds from savers to
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