Forecasting volatility of stock indices : improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators
Zhi De Khoo, Kok Haur Ng, You Beng Koh, Kooi Huat Ng
| Year of publication: |
2024
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| Authors: | Zhi De Khoo ; Kok Haur Ng ; You Beng Koh ; Kooi Huat Ng |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 71.2024, Art.-No. 102112, p. 1-17
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| Subject: | Combined weighted volatility | Covid-19 | Expected shortfall | GARCH-type models | Value-at-risk | Weighted volatility indicators | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Wirtschaftsindikator | Economic indicator | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102112 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014492106