Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators-Reference-Cited by-同舟云学术

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Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators

Published:2024-03 Issue: Volume:71 Page:102112
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Khoo Zhi De,Ng Kok Haur^ORCID,Koh You Beng,Ng Kooi Huat

Funder

Ministry of Higher Education, Malaysia

Publisher

Elsevier BV

Reference46 articles.

1. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998

2. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001

3. A comparative study of alternative extreme-value volatility estimators;Bali;Journal of Futures Markets: Futures, Options, and Other Derivative Products,2005

4. Regression-based expected shortfall backtesting;Bayer;Journal of Financial Econometrics,2022

5. Measuring historical volatility. In Equity Derivatives (Report). Madrid: Santander Investment Bolsa;Bennett,2012

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