Forecasting volatility in the New Zealand stock market
نویسندگان
چکیده
منابع مشابه
Forecasting Volatility in the New Zealand Stock Market
This paper evaluates the performance of nine alternative models for predicting stock price volatility using daily New Zealand data. The competing models contain both simple models such as the random walk and smoothing models and complex models such as ARCH-type models and a stochastic volatility model. Four different measures are used to evaluate the forecasting accuracy. The main results are t...
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ژورنال
عنوان ژورنال: Applied Financial Economics
سال: 2002
ISSN: 0960-3107,1466-4305
DOI: 10.1080/09603100110090118