Forecasting Stock Market Volatility: Evidence From Fourteen Countries
نویسندگان
چکیده
منابع مشابه
Forecasting Stock Market Volatility: Further International Evidence
This paper evaluates the out-of-sample forecasting accuracy of eleven models for monthly volatility in fifteen stock markets. Volatility is defined as within-month standard deviation of continuously compounded daily returns on the stock market index of each country for the ten-year period 1988 to 1997. The first half of the sample is retained for the estimation of parameters while the second ha...
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Volatility models and their forecasts are of interest to many types of economic agents, especially for financial risk management. Since 1982 when Engle proposed the Autoregressive Conditionally Heteroscedastic (ARCH) model, there have emerged numerous models for forecasting volatility. Given the vast number of models available, agents must decide which one to use. This paper explores a number o...
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Volatility models and their forecasts are of interest to many types of economic agents, especially for financial risk management. Since 1982 when Engle proposed the Autoregressive Conditionally Heteroscedastic (ARCH) model, there have emerged numerous models for forecasting volatility. Given the vast number of models available, agents must decide which one to use. This paper explores a number o...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.339520