Yoon, Seong-Min; Kang, Sang Hoon; Cho, Sung-Jin; Woo, Gyun - In: Theoretical and Applied Economics 12(541)(supplement) (2009) 12(541)(supplement), pp. 763-770
Accurate forecasting of volatility is of considerable interest in financial volatility research, particularly in regard to portfolio allocation, option pricing, and risk management. This article investigates and compares the ability to conduct one-day-ahead volatility forecasts in the Australian...
