Daily volatility forecasts: reassessing the performance of GARCH models

By D. McMillan, A. Speight. 2004

71 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4f04add0eb9b401ae1f5bf57f5cfa1592f761021

Citations in the corpus

• Garch forecasting performance under different distribution assumptions (2006, unknown): “25, 561–578 (2006) DOI: 10.1002/for agreement with McMillan and Speight (2004), who examine Garch forecasting performance compared to moving average models for 17 exchange rate series.”