Forecasting volatility

DOI10.1016/J.SPL.2005.05.015MaRDI QIDQ2575551zbMATHOpenAlexFDO

Authors A. Thavaneswaran, S. S. Appadoo, 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

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)

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Cites work

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

Cited in

(12)

• Simultaneity and non-linear variability in financial markets: simulation and forecasting
• Modeling and Forecasting Realized Volatility
• Recent developments in volatility modeling and applications
• Forecasting volatility with many predictors
• Forecasting volatility in the presence of model instability
• On some properties of autoregressive conditional Poisson (ACP) models
• scientific article; zbMATH DE number 6719556 (Why is no real title available?)
• The least-squares criteria of the random coefficient dynamic regression model
• Adjusting forecast intervals in arch‐m models
• An introduction to volatility models with indices
• Random coefficient volatility models
• Evaluating Volatility and Correlation Forecasts

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