Modeling and forecasting stock return volatility using the HARGARCH model with VIX information
Zhiyuan Pan, Jun Zhang, Yudong Wang, Juan Huang
| Year of publication: |
2024
|
|---|---|
| Authors: | Pan, Zhiyuan ; Zhang, Jun ; Wang, Yudong ; Huang, Juan |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 8, p. 1383-1403
|
| Subject: | entropic tilting | HAR-GARCH models | VIX information | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Theorie | Theory | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22516 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110643