McMillan, David; Speight, Alan; Apgwilym, Owain - In: Applied Financial Economics 10 (2000) 4, pp. 435-448
The paper analyses the forecasting performance of a variety of statistical and econometric models of UK FTA All Share and FTSE100 stock index volatility at the monthly, weekly and daily frequencies under both symmetric and asymmetric loss functions. Under symmetric loss, results suggest that the...