Asymmetry dynamic volatility forecast evaluations using interday and intraday data
The accuracy of financial time series forecasts often rely on the model precision and the availability of actual observations for forecast evaluations. This study aimed to tackle these issues in order to obtain a suitable asymmetric time-varying volatility model that outperformed in the forecast...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Kebangsaan Malaysia
2012
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| Online Access: | http://journalarticle.ukm.my/5536/ http://journalarticle.ukm.my/5536/ http://journalarticle.ukm.my/5536/1/16%2520Chin%2520Wen%2520Cheong.pdf |