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
|
|---|---|
| Authors: | Zhi De Khoo ; Kok Haur Ng ; You Beng Koh ; Kooi Huat Ng |
| Subject: | Combined weighted volatility | Covid-19 | Expected shortfall | GARCH-type models | Value-at-risk | Weighted volatility indicators | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Theorie | Theory |
| 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