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Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?
Ardia, David; Lennart, Hoogerheide; Nienke, Corré - Volkswirtschaftliche Fakultät, … - 2011
Using well-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is …
Persistent link: https://www.econbiz.de/10008805887
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Comparing the accuracy of density forecasts from competing GARCH models
Shamiri, Ahmed; Shaari, Abu Hassan; Isa, Zaidi - Volkswirtschaftliche Fakultät, … - 2008
, including symmetric and asymmetric distribution, and a family of GARCH volatility models. Our results on simulated data show …
Persistent link: https://www.econbiz.de/10005789224