Does multi-scale GARCH information enhance volatility prediction?
Rentian Yu, Haotian Xiao, Yukun Zhu, Gongqiu Zhang
| Year of publication: |
2025
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|---|---|
| Authors: | Yu, Rentian ; Xiao, Haotian ; Zhu, Yukun ; Zhang, Gongqiu |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 78.2025, Art.-No. 107196, p. 1-8
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| Subject: | GARCH models | MSGNet | Variational mode decomposition | Volatility prediction | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2025.107196 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015418645