Benchmarks and the accuracy of GARCH model estimation
- 1 January 2001
- journal article
- Published by Elsevier in International Journal of Forecasting
- Vol. 17 (1) , 45-56
- https://doi.org/10.1016/s0169-2070(00)00070-4
Abstract
No abstract availableThis publication has 10 references indexed in Scilit:
- Forecasting exchange rate volatility using conditional variance models selected by information criteriaEconomics Letters, 1998
- Benchmarks and software standards: A case study of GARCH proceduresJournal of Economic and Social Measurement, 1998
- Predicting stock index volatility: can market volume help?Journal of Forecasting, 1998
- Analytic derivatives and the computation of GARCH estimatesJournal of Applied Econometrics, 1996
- Periodic Autoregressive Conditional HeteroscedasticityJournal of Business & Economic Statistics, 1996
- Quadratic ARCH ModelsThe Review of Economic Studies, 1995
- On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksThe Journal of Finance, 1993
- ARCH modeling in financeJournal of Econometrics, 1992
- Conditional Heteroskedasticity in Asset Returns: A New ApproachEconometrica, 1991
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986