Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18
The purpose of this paper is to evaluate the forecasting performance of linear and non-linear generalized … autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model …
