forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the … Cholesky MSV model with long memory and asymmetry shows stable and better forecasting performance for one-day, five-day and ten …

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

realized correlations in the DCC-HEAVY model. The new model removes well known asymptotic bias in DCC-GARCH model estimation … and has more desirable asymptotic properties. We also derive a Quasi-maximum likelihood estimation and provide closed …

-memory type of dynamics generate first-order effects on forecasting and investment decisions, especially in the long-run. We …

design their trading strategies. An intelligent forecasting will certainly abet to yield significant profits. Many important … ARIMA modelling. The best fit ARIMA (0,1,0) model was chosen for forecasting the values of time series, viz., BSE_CLOSE and …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation included Close … variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the …, Garman-Klass, Parkinson, Roger-Satchell, and Yang-Zhang methods and forecasting was done through the ARIMA technique. The …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close … variations in returns. Forecasting volatility had been a stimulating problem in the financial systems. The study examined the …, Garman-Klass, Parkinson, Roger-Satchell and Yang-Zhang methods and forecasting is done through ARIMA technique. The study …