Garch forecasting performance under different distribution assumptions

By Anders Wilhelmsson. 2006

131 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6314715c1c9f5c4debf8620baacc1e1e3473a8e3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Z. Isa
2. A. Shamiri

In Finance

1. Z. Isa
2. A. Shamiri

Citations in the corpus

• Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models (2018, unknown): “Moreover, Wilhelmsson (2006) previously demonstrated the GARCH (1, 1) model’s predictive power through”
• Modeling and Forecasting Volatility of the Malaysian Stock Markets (2009, background): “While the literature that examines competing variance models is abundant, very little work has been done comparing different distribution assumptions, with the noticeable exceptions of Anders([1]) and Shamiri([10,11]).”