(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …

particular, our innovative contribution to the extant literature is the use of the EGARCH-M (exponential GARCH-in-mean) model to … formulate a volatility forecast of returns used as an input for determining some subjective views to be included in the Black … EGARCH inputs produces allocations with potentially sizeable benefits. Greater reliance on the implied BL excess returns, in …

forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate … investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 ….1) are adapted to predict the volatility of investment funds. The current development focuses on forecasting the risk …