Volatility forecasting in the hang seng index using the GARCH approach

DOI10.1007/S10690-009-9086-4zbMATH Open1170.91503OpenAlexW2051679974MaRDI QIDQ841853FDOQ841853

Authors: Bruce Morley, Wei Liu 

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9086-4

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zbMATH Keywords

forecastGARCHvolatilitystock priceasymmetricHang Seng

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• The Hong Kong securities markets: Review and prospects
• Are the GARCH models best in out-of-sample performance!
• The political economy of volatility dynamics in the Hong Kong stock market

Cited In (12)

• Forecasting stock market volatility in Central and Eastern European countries
• Evaluating the volatility forecasting performance of best fitting GARCH models in emerging Asian stock markets
• Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem
• Forecasting stock market volatility: the role of gold and exchange rate
• Forecasting stock return volatility using a robust regression model
• Suggested statistical model for describing the fluctuations in the conditional variation with application on the general index of the Egyptian capital market
• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return
• Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
• Comparing volatility forecasting models during the global financial crisis
• Cross-border exchanges and volatility forecasting
• GARCH-type forecasting models for volatility of stock market and MCS test
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models

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