Comparative analysis of known time series models to forecast volatility in Philippine stock and FOREX markets

• Main Authors: Lim, Giovanni Moses, Maranan, Mariel I.
• Format: text
• Language: English
• Published: Animo Repository 2015
• Subjects: Stocks > Philippines > Forecasting; Foreign exchange > Philippines > Forecasting; Mathematics
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/14898
• Institution: De La Salle University

The stock and FOREX markets are two of the known markets in the world of business, and in this study, a number of time series models to forecast volatility were compared. Furthermore, the research is aimed to study models for these two markets in the Philippine setting. Forecasting volatility is hel...