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returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10013054678
returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10013034867
returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10013035710
We use 92,632,873 daily returns for 33,010 US firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from 10 different models, we find that the most popular models, the martingale and GARCH type models, perform worst. Using the...
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We propose an extension of standard asymmetric volatility models in the generalized autoregressive conditional …
Persistent link: https://www.econbiz.de/10013007366
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