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Stock Index Volatility Forecasting with High Frequency Data
Hol, Eugenie; Koopman, Siem Jan - Tinbergen Institute - 2002
Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …
Persistent link: https://www.econbiz.de/10005136957
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Stock Index Volatility Forecasting with High Frequency Data
Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2002
Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …
Persistent link: https://www.econbiz.de/10011256816