The influence of different financial market regimes on the dynamic estimation of GARCH volatility model parameters and volatility forecasting
Helena Viljoen, Willie J. Conradie and Monique-Mari Britz
Year of publication: |
2022
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Authors: | Viljoen, Helena ; Conradie, Willie J. ; Britz, Monique-Mari |
Published in: |
Journal for studies in economics and econometrics : SEE. - Abingdon : Taylor & Francis, ISSN 2693-5198, ZDB-ID 2115320-6. - Vol. 46.2022, 3, p. 169-184
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Subject: | forecasting | GARCH model parameters | volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Finanzmarkt | Financial market | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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