Volatility forecast with the regularity modifications
Year of publication: |
2023
|
---|---|
Authors: | Zhu, Qinwen ; Diao, Xundi ; Wu, Chongfeng |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 1, p. 1-10
|
Subject: | Autoregressive rough volatility model | High frequency data | VIX index | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | Autokorrelation | Autocorrelation |
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