Browsing Kandidatuppsatser i finansiell ekonomi by Subject "Realized GARCH"
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Volatility Forecasting - A comparative study of different forecasting models.
(2023-06-29)This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized ...