REIT volatility prediction for skew-GED distribution of the GARCH model

Expert Systems with Applications

Volumn 37, Issue 7, 2010, Pages 4737-4741

  Lee, Yen Hsien ^a   Pai, Tung Yueh ^b  

^a CHUNG YUAN CHRISTIAN UNIVERSITY   (Taiwan)

^b YUANPEI UNIVERSITY   (Taiwan)

Author keywords

Fat tails; GARCH; SGED; Skewness; Volatility forecasting

Indexed keywords

CONDITIONAL DISTRIBUTION; EMPIRICAL RESULTS; FAT TAILS; GARCH MODELS; GROWTH POTENTIAL; MODEL SELECTION; VOLATILITY FORECASTING; VOLATILITY FORECASTS;

LINEAR TRANSFORMATIONS; SETTLING TANKS;

FORECASTING;

EID: 77950187404     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2009.11.044     Document Type: Article

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