Forecasting stock index volatility

DOI10.1002/ASMB.423MaRDI QIDQ2722284zbMATH OpenOpenAlexFDO

Authors Riccardo Bramante, Santamaria Luigi

Publication date 11 July 2001

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.423

zbMATH Keywords

ARCH modelsdownside riskvolatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Economic time series analysis (91B84)

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Cites work

• ARCH models and financial applications
• Generalized autoregressive conditional heteroscedasticity

Cited in

(11)

• The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
• Predicting index returns with morphological filters
• Stock index return forecasting: the information of the constituents
• Speed of price adjustment in Indian stock market: a paradox
• scientific article; zbMATH DE number 6719556 (Why is no real title available?)
• Evaluating Volatility and Correlation Forecasts
• scientific article; zbMATH DE number 1489875 (Why is no real title available?)
• Forecasting stock market volatility in Central and Eastern European countries
• The Predictive Power of the French Market Volatility Index: A Multi Horizons Study *
• Volatility Forecasts and Value at Risk Evaluation for the MSCI North America Index
• Are volatility indices in international stock markets forward looking?

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