The volatility and density prediction performance of alternative GARCH models
From MaRDI portal
(Redirected from Publication:4687255)
Recommendations
- Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
- A Bayesian perspective on mixed GARCH models with jumps
- Fat tails and asymmetry in financial volatility models.
- GARCH-type forecasting models for volatility of stock market and MCS test
- The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Cited in
(12)- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns
- Estimation of flexible fuzzy GARCH models for conditional density estimation
- Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market
- Comparing the accuracy of density forecasts from competing GARCH models
- The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
- VG NGARCH versus GARJI model for asset price dynamics
- Evaluating the volatility forecasting performance of best fitting GARCH models in emerging Asian stock markets
- News augmented GARCH(1,1) model for volatility prediction
- scientific article; zbMATH DE number 6180013 (Why is no real title available?)
- GARCH density and functional forecasts
This page was built for publication: The volatility and density prediction performance of alternative GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687255)
