Rastogi, Vivek Raj; Vishvakarma, Niraj Kumar; Dhar, Joydip - In: International Journal of Economics and Business Research 4 (2012) 4, pp. 393-411
allocation framework where the empirical results are equity-like returns with volatility, Sharpe ratio and drawdown. In this … autoregressive conditional heteroskedasticity-autoregressive moving average (EGARCH-ARMA) for the defined asset classes. Daily spot … that the EGARCH-ARMA model is superior to the ARMA model in forecasting market returns. Several diagnostic tests were …
