Volatility forecasting in the hang seng index using the GARCH approach

DOI10.1007/S10690-009-9086-4zbMath1170.91503OpenAlexW2051679974MaRDI QIDQ841853

Bruce Morley, Wei Liu

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9086-4

zbMATH Keywords

forecaststock priceGARCHvolatilityasymmetricHang Seng

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• The Hong Kong securities markets: Review and prospects
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Are the GARCH models best in out-of-sample performance!
• The political economy of volatility dynamics in the Hong Kong stock market
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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