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ArticleBenchmarks and the accuracy of GARCH model estimation

Chris Brooks2001

Article2001

Benchmarks and the accuracy of GARCH model estimation

Chris Brooks · Simon P. Burke · Gita Persand

185 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1992ARCH modeling in finance 1995Quadratic ARCH Models 1993Threshold arch models and asymmetries in volatility 1996Periodic Autoregressive Conditional Heteroscedasticity 1998Predicting stock index volatility: can market volume help?

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Year2001

Typearticle

Published2001-01-01

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations185

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0169-2070(00)00070-4

openalex_workW1990384452

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2003

Multivariate GARCH models: software choice and estimation issues

2006VOLATILITY AND CORRELATION FORECASTING