How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index
Jying-Nan Wang; Yuan-Teng Hsu; Hung-Chun Liu
| Year of publication: |
2014
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|---|---|
| Authors: | Wang, Jying-Nan ; Hsu, Yuan-Teng ; Liu, Hung-Chun |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 4.2014, 3, p. 651-656
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| Subject: | GARCH | Information value | Volatility estimator | VIX | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Aktienindex | Stock index | Schätztheorie | Estimation theory | Index-Futures | Index futures | Informationswert | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010526918