Low and high prices can improve volatility forecasts during periods of turmoil
Piotr Fiszeder, Grzegorz Perczak
| Year of publication: |
April-June 2016
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|---|---|
| Authors: | Fiszeder, Piotr ; Perczak, Grzegorz |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 2, p. 398-410
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| Subject: | GARCH model | Low and high prices | NIG distribution | Turmoil period | Volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.07.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597123