Forecasting VIX using two-component realized EGARCH model
Xinyu Wu, An Zhao, Li Liu
| Year of publication: |
2023
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|---|---|
| Authors: | Wu, Xinyu ; Zhao, An ; Liu, Li |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 67.2023, p. 1-18
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| Subject: | Component volatility structure | Realized EGARCH | Realized measure | VIX forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | Kapitalmarktrendite | Capital market returns | 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.najef.2023.101934 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014484064