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

Hung-Chun LiuJui-Cheng Hung
Published in: Expert Syst. Appl. (2010)
Keyphrases
  • garch model
  • stock index
  • stock market
  • stock index futures
  • multivariate time series
  • sar images
  • heavy tailed
  • financial time series
  • co occurrence
  • data mining
  • multiresolution
  • short term