Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds
Year of publication: |
2023
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Authors: | Petrova, Mariana ; Todorov, Teodor |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 11, Art.-No. 197, p. 1-30
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Subject: | mutual funds | risk management | modeling | GARCH | EGARCH | GARCH-M | TGARCH | Investmentfonds | Investment Fund | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Theorie | Theory |
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