Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
نویسندگان
چکیده
منابع مشابه
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
The predictive performance of the realized stochastic volatility model of Takahashi, Omori, and Watanabe (2009), which incorporates the asymmetric stochastic volatility model with the realized volatility, is investigated. Considering well known characteristics of financial returns, heavy tail and negative skewness, the model is extended by employing a wider class distribution, the generalized h...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2016
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2015.07.005