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Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter

Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973

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Forecasting realized volatility : HAR against Principal Components Combining, neural networks and GARCH

Vortelinos, Dimitrios I. - In: Research in international business and finance 39 (2017), pp. 824-839

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Google search volume sentiment and its impact on REIT market movements

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Testing volatility in Nigeria stock market using GARCH models

Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error … forecasting model that could guarantee a sound policy decisions. …

Persistent link: https://www.econbiz.de/10011489480