Search Results - subject:"Asymmetric Normal Mixture Garch"

Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa

Cifter, Atilla - In: Journal for Economic Forecasting (2012) 2, pp. 127-142

This paper investigates the relative performance of the asymmetric normal mixture generalized autoregressive conditional heteroskedasticity (NM-GARCH) and the benchmarked GARCH models with the daily stock market returns of the Johannesburg Stock Exchange, South Africa. The predictive performance...

Persistent link: https://www.econbiz.de/10010558790

The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey

Cifter, Atilla; Ozun, Alper - Volkswirtschaftliche Fakultät, … - 2007

The purpose of this study is to test predictive performance of Asymmetric Normal Mixture Garch (NMAGARCH) and other …

Persistent link: https://www.econbiz.de/10005786939

The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey

Çifter, Atilla; Özün, Alper - In: Journal of BRSA Banking and Financial Markets 1 (2007) 1, pp. 7-34

The purpose of this study is to test predictive performance of Asymmetric Normal Mixture GARCH (NMAGARCH) and other …

Persistent link: https://www.econbiz.de/10008464866

Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model

Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350

Persistent link: https://www.econbiz.de/10008811307