Volatility Forecasts in Financial Time Series with HMM-GARCH Models.

Xiong-Fei Zhuang Lai-Wan Chan

Published in: IDEAL (2004)

Keyphrases

garch model
financial time series
stock market
short term
hidden markov models
long term
financial markets
multivariate time series
financial time series forecasting
stock price
stock exchange
turning points
financial data
stock returns
historical data
data mining
data mining techniques
knowledge discovery