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Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study
Pauly, Ralf; Kosater, Peter - 2005
GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this … article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing … methods can be an asset in volatility forecasting, since model parameters are subject to structural change over time and the …
Persistent link: https://www.econbiz.de/10009660996
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Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study
Pauly, Ralf; Kosater, Peter - 2005 - Preliminary version
Persistent link: https://www.econbiz.de/10003204016
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Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143
Persistent link: https://www.econbiz.de/10010205105
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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach
Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10010461231
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Modelling and forecasting long memory time series with exponential and switching GARCH models
Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425
Persistent link: https://www.econbiz.de/10012155069
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Robust value-at-risk forecasting of Karachi Stock Exchange
Iqbal, Farhat - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 130-146
Persistent link: https://www.econbiz.de/10011748632
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The influence of different financial market regimes on the dynamic estimation of GARCH volatility model parameters and volatility forecasting
Viljoen, Helena; Conradie, Willie J.; Britz, Monique-Mari - In: Journal for studies in economics and econometrics : SEE 46 (2022) 3, pp. 169-184
Persistent link: https://www.econbiz.de/10013482379
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A new approach to model and forecast volatility based on extreme value of asset prices
Kumar, Dilip; Maheswaran, S. - In: International review of economics & finance : IREF 33 (2014), pp. 128-140
Persistent link: https://www.econbiz.de/10010531271
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Prediction power of high-frequency based volatility measures : a model based approach
Hamid, Alain - In: Review of managerial science 9 (2015) 3, pp. 549-576
Persistent link: https://www.econbiz.de/10011283668