Medium-term horizon volatility forecasting: A comparative study

DOI10.1002/ASMB.684MaRDI QIDQ3607868zbMATH OpenOpenAlexFDO

Authors Richard Hawkes, Paresh Date

Publication date 28 February 2009

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.684

zbMATH Keywords

GARCHmedium-term horizonOrnstein-Uhlenbeck processrealized volatilitystochastic volatilityValue-at-Riskvolatility forecasting

Mathematics Subject Classification ID

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Cites work

• Temporal Aggregation of Garch Processes

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