The stock returns volatility based on the GARCH (1,1) model : the superiority of the truncated standard normal distribution in forecasting volatility
Emrah Gulay, Hamdi Emec
| Year of publication: |
2019
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| Authors: | Gulay, Emrah ; Emec, Hamdi |
| Published in: |
Iranian economic review : journal of University of Tehran. - Teheran : [Verlag nicht ermittelbar], ISSN 2588-6096, ZDB-ID 2627358-5. - Vol. 23.2019, 1, p. 87-108
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| Subject: | Volatility | Financial Time Series | Truncated Standard Normal Distribution | ARCH/GARCH Models | Forecasting | Volatilität | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Kapitalmarktrendite | Capital market returns | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.22059/ier.2018.69100 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012152550