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Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

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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

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Investigation of forecasted risk interrelationship : base on GARCH model, causality in China markets

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Bitcoin return volatility forecasting : a comparative study between GARCH and RNN

Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18

One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility … volatility were founded on econometric models. Research on bitcoin volatility forecasting using machine learning algorithms is … bitcoin's return volatility and Value at Risk. The objective of this study is to compare their out-of-sample performance in …

Persistent link: https://www.econbiz.de/10012626254