Modelling the Stock Price Volatility Using Asymmetry Garch and Ann-Asymmetry Garch Models
نویسندگان
چکیده
منابع مشابه
Forecasting Stock Market Volatility Using (Non-Linear) Garch Models
In this papeT we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng. 1993) and the Glosten. Jagannathan and Runkle (1992) models which have been proposed to describe, for example, the often observed negative skewness in stock market indices. We find that the QGARCH model is...
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ژورنال
عنوان ژورنال: International Journal of Data Science and Analysis
سال: 2018
ISSN: 2575-1883
DOI: 10.11648/j.ijdsa.20180404.11