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Are RiskMetrics forecasts good enough? Evidence from 31 stock markets

Mcmillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10008257387

Are RiskMetrics forecasts good enough? Evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-125

Persistent link: https://www.econbiz.de/10008891792

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Persistent link: https://www.econbiz.de/10014253685

Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets

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Do artificial neural networks provide improved volatility forecasts : evidence from Asian markets

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Are RiskMetrics forecasts good enough? Evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International Review of Financial Analysis 18 (2009) 3, pp. 117-124

Academic research has highlighted the inherent flaws within the RiskMetrics model and demonstrated the superiority of the GARCH approach in-sample. However, these results do not necessarily extend to forecasting performance. This paper seeks answer to the question of whether RiskMetrics...

Persistent link: https://www.econbiz.de/10004973401