Model specification for volatility forecasting benchmark
Yaojie Zhang, Mengxi He, Yudong Wang, Danyan Wen
| Year of publication: |
2025
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|---|---|
| Authors: | Zhang, Yaojie ; He, Mengxi ; Wang, Yudong ; Wen, Danyan |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 97.2025, Art.-No. 103850, p. 1-19
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| Subject: | Benchmark model | Model specification | Natural logarithm | Variable transformation | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Benchmarking | Theorie | Theory | Modellierung | Scientific modelling | ARCH-Modell | ARCH model | 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.irfa.2024.103850 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015597000