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Forecasting volatility and capturing downside risk of the Taiwanese futures markets under the financial tsunami

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Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns

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

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Volatility forecasts : do volatility estimators and evaluation methods matter?

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Improving the realized GARCH's volatility forecast for Bitcoin with jump-robust estimators

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, Jimmy J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-11

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Volatility Forecasts : Do Volatility Estimators and Evaluation Methods Matter?

Jiang, I-Ming - 2013

This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock indices and two individual stocks in the U.S. stock market. The forecasting performances are evaluated by two robust statistical loss functions, and further by financial...

Persistent link: https://www.econbiz.de/10013077090