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Modelling Short-Term Volatility with GARCH and Harch Models · Study

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PreprintModelling Short-Term Volatility with GARCH and Harch Models

Michel M. Dacorogna1997

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Preprintgreen1997

Modelling Short-Term Volatility with GARCH and Harch Models

Michel M. Dacorogna · Ulrich Müller · Olivier V. Pictet · Richard B. Olsen

86 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992ARCH modeling in finance 1983Empirical exchange rate models of the seventies 1992A Simple Nonparametric Test of Predictive Performance 1993Temporal Aggregation of Garch Processes 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

Cited by

2001Multifractal returns and hierarchical portfolio theory 2003Market heterogeneities and the causal structure of volatility 2007Estimation of an adaptive stock market model with heterogeneous agents 2013Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach 2013Realized volatility spillovers in the non-ferrous metal futures market

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2002Parametric and Nonparametric Volatility Measurementpreprint · 6 shared references 1996Periodic Autoregressive Conditional Heteroscedasticityarticle · 5 shared references 2011Forecasting intraday volatility in the US equity market. Multiplicative component GARCHarticle · 5 shared references 2005Volatility Forecastingreport · 5 shared references 1998Nonparametric vector autoregressionarticle · 5 shared references 1999Trading volumes and transaction costs in the foreign exchange marketarticle · 5 shared references

Details

Year1997

Typepreprint

Published1997-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations86

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.36960

openalex_workW147136805

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2004

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