A comparative study of interval forecasting using GARCH models under symmetric and asymmetric distributional assumptions

被引：0

作者：

Zhang, Zhe ^{[1
]}

Choo, Wei Chong ^{[2
]}

Arasan, Jayanthi ^{[3
]}

机构：

[1] School of Business and Economics, Universiti Putra Malaysia, Malaysia

[2] School of Business and Economics, Institute for Mathematical Research, Universiti Putra Malaysia, Malaysia

[3] Department of Mathematics and Statistics, Faculty of Science, Universiti Putra Malaysia, Malaysia

来源：

International Journal of Applied Decision Sciences | 2024年 / 17卷 / 05期

关键词：

Compendex;

D O I：

10.1504/IJADS.2024.140835

中图分类号：

学科分类号：

摘要：

Prediction models

引用

页码：595 / 614

共 50 条

[21] MODELING STOCK MARKET DAILY RETURNS VOLATILITY USING SYMMETRIC AND ASYMMETRIC GARCH MODELS WITH THREE DIFFERENT DISTRIBUTIONS
Yelamanchili, Rama Krishna
ADVANCES AND APPLICATIONS IN STATISTICS, 2020, 63 (02) : 119 - 140
[22] The regression analysis of correlated interval-censored data: illustration using accelerated failure time models with flexible distributional assumptions
Komarek, Arnost
Lesaffre, Emmanuel
STATISTICAL MODELLING, 2009, 9 (04) : 299 - 319
[23] Forecasting volatility by using wavelet transform, ARIMA and GARCH models
Rubio, Lihki
Pinedo, Adriana Palacio
Castano, Adriana Mejia
Ramos, Filipe
EURASIAN ECONOMIC REVIEW, 2023, 13 (3-4) : 803 - 830
[24] Bitcoin return volatility forecasting using nonparametric GARCH models
Mestiri, Sami
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2024, 11 (04)
[25] Forecasting the Variability of Stock Exchange Indexes Using GARCH Models
Malecka, Marta
EKONOMISTA, 2011, (06): : 843 - 859
[26] Forecasting volatility by using wavelet transform, ARIMA and GARCH models
Lihki Rubio
Adriana Palacio Pinedo
Adriana Mejía Castaño
Filipe Ramos
Eurasian Economic Review, 2023, 13 : 803 - 830
[27] Application of Fuzzy Asymmetric GARCH-Models to Forecasting of Volatility of Russian Stock Market
Lepskiy, Alexander
Suevalov, Artem
PROCEEDINGS OF THE SECOND INTERNATIONAL SCIENTIFIC CONFERENCE INTELLIGENT INFORMATION TECHNOLOGIES FOR INDUSTRY (IITI'17), VOL 1, 2018, 679 : 286 - 294
[28] Empirical performance of the optimal predictors under asymmetric loss GARCH vs. realized GARCH models
Ulu, Yasemin
APPLIED ECONOMICS, 2024,
[29] COMPARATIVE ANALYSIS OF BSE SECTORAL INDICES DURING COVID-19 AND VOLATILITY FORECASTING USING GARCH MODELS
Jasuja, Deepmala
Sharma, Preeti
JIMS8M-THE JOURNAL OF INDIAN MANAGEMENT & STRATEGY, 2020, 25 (04) : 60 - 63
[30] MAXIMUM-LIKELIHOOD-ESTIMATION IN BINARY DATA MODELS USING PANEL-DATA UNDER ALTERNATIVE DISTRIBUTIONAL ASSUMPTIONS
ORME, CD
FRY, TRL
ECONOMICS LETTERS, 1995, 49 (04) : 359 - 366

← 1 2 3 4 5 →