Forecasting S&P-100 stock index volatility: The role of volatility asymmetry and distributional assumption in GARCH models

Expert Systems with Applications

Volumn 37, Issue 7, 2010, Pages 4928-4934

  Liu, Hung Chun ^a   Hung, Jui Cheng ^b  

^a MINGHSIN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

^b LUNGHWA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

Author keywords

Asymmetry; Distribution; GARCH; SPA test; Volatility

Indexed keywords

ASYMMETRIC COMPONENT; DAILY VOLATILITY FORECASTING; EGARCH MODELS; EMPIRICAL RESULTS; ERROR DISTRIBUTIONS; FAT TAILS; FINANCIAL RETURNS; GARCH MODELS; GARCH-T; GJR-GARCH MODELS; LEPTOKURTOSIS; LEVERAGE EFFECTS; PERFORMANCE IMPROVEMENTS; PREDICTIVE ABILITIES; STOCK INDICES; VOLATILITY FORECASTS;

FORECASTING;

NORMAL DISTRIBUTION;

EID: 77950188506     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2009.12.022     Document Type: Article

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