Improving GARCH based volatility forecasting using six predictor models

• Main Authors: Antonio, Glenn Marco, Franco, Ricardo, Santos, Jan Thomas, Teodoro, Santiago
• Format: text
• Language: English
• Published: Animo Repository 2016
• Subjects: Stock price forecasting > Philippines; Stocks > Prices > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/9036
• Institution: De La Salle University

Over the past decades, the worldwide financial markets have been continually evolving. Along with this is a rapidly growing need for an accurate and efficient volatility forecasting method. In this study, the proponents sought to determine if the incorporation of the available volatility estimators...