Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models
We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast. Contrary to prior evidence, however, the results in this paper suggest that no asymme...
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| Format: | Article |
| Language: | English |
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Korea Institute for International Economic Policy
2009-12-01
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| Series: | East Asian Economic Review |
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| Online Access: | http://dx.doi.org/10.11644/KIEP.JEAI.2009.13.2.203 |