Search Results for: Predictive Ability Of Asymmetric Volatility Models At Medium Term Horizons

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric one

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric one

We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the charact

This dissertation contains three self-contained chapters dealing with volatility modeling and forecasting. In the first chapter we compare a set of standard GAR