Heavy And Realized (E)Garch Models
This book investigates the out-of-sample performance of several models that predict unobserved conditional variance. The models that are considered are the HEAVY, RealGARCH(1,1) and the RealEGARCH(1,1) model. These models are also extended, using the squared daily return as extra regressor and adding an indicator function for negative returns multiplied with the realized measure. With these models...
Paperback: 116 pages
Publisher: GlobeEdit (September 22, 2014)
Product Dimensions: 5.9 x 0.3 x 8.7 inches
Format: PDF Text TXT ebook
- 9783639678680 epub
- 978-3639678680 pdf
- Bjorn Baars epub
- Bjorn Baars ebooks
- pdf books
Download Family jewels a stone barrington novel pdf at 6eppakutens.wordpress.com Here The gingerbrea cowboy book pdf link Download Think and grow rich the secret to wealth updated for the 21st century pdf at allpalzpurasun.wordpress.com Everyday survival english with audio cd
forecasts are made and compared with two benchmark models, being the GARCH(1,1) model and the HAR-3 model. The loss function that is used to compare these models is the QLIKE loss function, with the squared daily returns, realized variance and realized kernel as a proxy. The data that are considered, are the indices of the FTSE100, DAX30, CAC40, AEX, SSMI, IBEX35 and the EUROSTOXX50 from January 2000 to March 2014.
Leave a Comment