Forecasting volatility

DOI10.1016/J.SPL.2005.05.015zbMATH Open1077.62100OpenAlexW4256143464MaRDI QIDQ2575551FDOQ2575551

S. S. Appadoo, A. Thavaneswaran, 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

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zbMATH Keywords

heteroscedasticityforecastingGARCH modelsconditional expectationstochastic volatilityinnovationsARCH(1) models

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (11)

• Recent developments in volatility modeling and applications
• The least-squares criteria of the random coefficient dynamic regression model
• Title not available (Why is that?)
• Random coefficient volatility models
• Simultaneity and non-linear variability in financial markets: simulation and forecasting
• Forecasting volatility in the presence of model instability
• An introduction to volatility models with indices
• Evaluating Volatility and Correlation Forecasts
• Adjusting forecast intervals in arch‐m models
• On some properties of autoregressive conditional Poisson (ACP) models
• Modeling and Forecasting Realized Volatility

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