Forecasting VIX using realized EGARCH model with dynamic jumps
Xinyu Wu, Junlin Pu and Yuyao Wang
| Year of publication: |
2025
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|---|---|
| Authors: | Wu, Xinyu ; Pu, Junlin ; Wang, Yuyao |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 32.2025, 11, p. 1534-1545
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| Subject: | dynamic jumps | high-frequency information | realized EGARCH | VIX forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Aktienindex | Stock index | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2024.2308565 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015444772