Improving ARMA-GARCH forecasts for high frequency data with regime-switching ARMA-GARCH (Q2950827)
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scientific article; zbMATH DE number 6492775
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| English | Improving ARMA-GARCH forecasts for high frequency data with regime-switching ARMA-GARCH |
scientific article; zbMATH DE number 6492775 |
Statements
9 October 2015
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regime-switching autoregressive model
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hidden Markov
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high frequency financial data
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ARMA-GARCH model
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FARIMA-FIGARCH model
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0.7845730185508728
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0.7622202634811401
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0.7543063759803772
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0.7489855289459229
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0.7431616187095642
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