Daily volatility forecasts: Reassessing the performance of GARCH models

Journal of Forecasting

Volumn 23, Issue 6, 2004, Pages 449-460

  McMillan, David G ^a   Speight, Alan E H ^b  

^a DURHAM UNIVERSITY   (United Kingdom)

^b SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

GARCH; Intra day data; Volatility forecasts

Indexed keywords

ERROR ANALYSIS; ESTIMATION; INDUSTRIAL ECONOMICS; MARKETING; MATHEMATICAL MODELS; RISK MANAGEMENT; STATISTICAL METHODS;

GARCH; INTRA-DAY DATA; PRICING MODELS; VOLATILITY FORECASTS;

FORECASTING;

EID: 4744342417     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.926     Document Type: Article

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