Improving volatility forecasts with GED-GARCH model: evidence from U.S. stock market
Year of publication: |
2019
|
---|---|
Authors: | Giacalone, Massimiliano ; Mattera, Raffaele ; Cozzucoli, Paolo Carmelo |
Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 18.2019, 7, p. 785-791
|
Subject: | GARCH | Generalized Error Distribution | volatility | prediction | t-student | USA | United States | Schätzung | Estimation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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