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Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods
The present paper examines the relative out-of-sample predictive ability of GARCH, GARCH-M, EGARCH, TGARCH and PGARCH models for ten Asian markets by using three different time frames and two different methods, considering the features of volatility clustering, leverage effect and volatility persist...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9522449/ https://www.ncbi.nlm.nih.gov/pubmed/36196266 http://dx.doi.org/10.1007/s43546-022-00329-9 |