Improving GARCH Volatility Forecasts With Regime-Switching GARCH

doi 10.1007/978-3-642-51182-0_10
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Physica-Verlag HD

Related search

Long Memory With Markov-Switching GARCH

Economics Letters
EconomicsFinanceEconometrics
2008English

EWS-GARCH: New Regime Switching Approach to Forecast Value-At-Risk

Central European Economic Journal
2018English

Sample and Implied Volatility in GARCH Models

Journal of Financial Econometrics
EconomicsEconometricsFinance
2006English

ARCH-GARCH MODEL on VOLATILITY of CRUDE OIL

International Journal of Disciplines In Economics and Administrative Sciences Studies (IDEAstudies)
2017English

Estimating Stock Market Volatility Using Asymmetric GARCH Models

Applied Financial Economics
2008English

Empirical Analysis of Chinese Stock Market Volatility Based on GARCH Models and Markov Switching Models

2019English

Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model

Econometrics Journal
EconomicsEconometrics
2009English

Support Vector Regression Based GARCH Model With Application to Forecasting Volatility of Financial Returns

SSRN Electronic Journal
2008English

Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

SSRN Electronic Journal
2014English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy