Forecasting volatility

DOI10.1016/j.spl.2005.05.015zbMath1077.62100OpenAlexW4256143464MaRDI QIDQ2575551

S. S. Appadoo, A. Thavaneswaran, M. Shelton Peiris

Publication date: 5 December 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.05.015

zbMATH Keywords

stochastic volatilityinnovationsconditional expectationheteroscedasticityforecastingGARCH modelsARCH(1) models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Random coefficient GARCH models
• Random coefficient autoregressive models: an introduction
• A nonlinear time series model and estimation of missing observations
• Prediction via estimating functions
• Generalized autoregressive conditional heteroscedasticity
• Modeling volatility persistence of speculative returns: a new approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS