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On the predictability of the stock market volatility : does history matter?
Adjaoute, Kpate - In: European financial management : the journal of the … 4 (1998) 3, pp. 293-319
Persistent link: https://www.econbiz.de/10001251082
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On the Predictability of the Stock Market Volatility: Does History Matter?
Adjaoute, Kpate; Bruand, Martin; Gibson-Asner, Rajna - In: European financial management : the journal of the … 4 (1998) 3, pp. 293-320
Persistent link: https://www.econbiz.de/10005971445
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On the Predictability of the Stock Market Volatility : Does History Matter?
Adjaoute, Kpate - 2001
This study compares the performance of the ISD, the GARCH (1,1), the historical volatility estimates and of two lagged trading volume measures for predicting the Swiss Stock Market Index's (SMI) volatility. The ISD has a superior daily informational content than the GARCH(1,1) estimate and...
Persistent link: https://www.econbiz.de/10012788420