Forecasting intraday volatility and VaR using multiplicative component GARCH model
Year of publication: |
2015
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Authors: | Diao, Xundi ; Tong, Bin |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 22.2015, 16/18, p. 1457-1464
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Subject: | mcsGARCH model | CSI 300 index | intraday volatility | backtesting | value-at-risk | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Theorie | Theory | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model |
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