French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13
. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of … (GARCH) models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the … squared forecast error (MSE) were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural …
