Forecasting intraday volatility and VaR using multiplicative component GARCH model
Xundi Diao and Bin Tong
| 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 | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Theorie | Theory | VAR-Modell | VAR model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011380317