Forecasting volatility
From MaRDI portal
Publication:2575551
DOI10.1016/j.spl.2005.05.015zbMath1077.62100MaRDI QIDQ2575551
A. Thavaneswaran, S. S. Appadoo, M. 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
stochastic volatility; innovations; conditional expectation; heteroscedasticity; forecasting; GARCH models; ARCH(1) models
62M20: Inference from stochastic processes and prediction
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
An introduction to volatility models with indices, Recent developments in volatility modeling and applications, On some properties of autoregressive conditional Poisson (ACP) models, Random coefficient volatility models, Simultaneity and non-linear variability in financial markets: simulation and forecasting
Cites Work
- Random coefficient GARCH models
- Random coefficient autoregressive models: an introduction
- A nonlinear time series model and estimation of missing observations
- Prediction via estimating functions
- Generalized autoregressive conditional heteroscedasticity
- Modeling volatility persistence of speculative returns: a new approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
