Modeling and forecasting stock return volatility using the HARGARCH model with VIX information
Year of publication: |
2024
|
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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 |
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