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Evaluating volatility and interval forecasts

Taylor, James W. - In: Journal of forecasting 18 (1999) 2, pp. 111-128

Persistent link: https://www.econbiz.de/10001368220

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Pellegrini, Santiago; Ruiz, Esther; Espasa Terrades, Antoni - In: International journal of forecasting 27 (2011) 2, pp. 308-319

Persistent link: https://www.econbiz.de/10009247501

Forecasting volatility with many predictors

Ke, Tsung-han; Hu, Yu-pin - In: Journal of forecasting 32 (2013) 8, pp. 743-754

Persistent link: https://www.econbiz.de/10010344461

Evaluating and improving GARCH-based volatility forecasts with range-based estimators

Hung, Jui-cheng; Lou, Tien-wei; Wang, Yi-hsien; Lee, Jun-de - In: Applied economics 45 (2013) 28/30, pp. 4041-4049

Persistent link: https://www.econbiz.de/10010345765

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