GARCH models for forecasting volatilities of three major stock indexes : using both frequentist and Bayesian approach
Forecasting volatility with precision in financial market is very important. This paper examines the use of various forms of GARCH models for forecasting volatility. Three financial data sets from Japan (NIKKEI 225 index), the United States (Standard & Poor 500) and Germany (DAX index) are consi...
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2013
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| Online Access: | http://cardinalscholar.bsu.edu/handle/123456789/197166 http://liblink.bsu.edu/uhtbin/catkey/1712468 |