Forecasting stock index volatility

DOI10.1002/ASMB.423zbMath0967.91065OpenAlexW2106044075MaRDI QIDQ2722284

Riccardo Bramante, Santamaria Luigi

Publication date: 11 July 2001

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.423

zbMATH Keywords

ARCH modelsdownside riskvolatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• ARCH models and financial applications
• Generalized autoregressive conditional heteroscedasticity

This page was built for publication: Forecasting stock index volatility