Forecasting Volatility in the New Zealand Stock Market
This study evaluates the performance of nine alternative models for predicting stock price volatility using daily New Zealand data. The competing models contain both simple models such as the random walk and smoothing models and complex models such as ARCH-type models and a stochastic volatility mod...
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| المؤلف الرئيسي: | |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2002
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| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/413 https://ink.library.smu.edu.sg/context/soe_research/article/1412/viewcontent/YuAFE.pdf |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |