Medium-term horizon volatility forecasting: A comparative study (Q3607868)
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scientific article; zbMATH DE number 5520394
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Medium-term horizon volatility forecasting: A comparative study |
scientific article; zbMATH DE number 5520394 |
Statements
Medium-term horizon volatility forecasting: A comparative study (English)
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28 February 2009
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medium-term horizon
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volatility forecasting
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GARCH
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Ornstein-Uhlenbeck process
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realized volatility
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stochastic volatility
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Value-at-Risk
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0.7527052760124207
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0.7499948740005493
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0.7467498183250427
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0.7444164752960205
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0.7394596934318542
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