Angelidis, Timotheos; Degiannakis, Stavros - In: Managerial Finance 34 (2008), pp. 489-497
Purpose - The aim is to evaluate the performance of symmetric and asymmetric ARCH models in forecasting both the one-day-ahead Value-at-Risk (VaR) and the realized intra-day volatility of two equity indices in the Athens Stock Exchange. Design/methodology/approach - Two volatility specifications...