Volatility Forecast in Crises and Expansions
We build a discrete-time non-linear model for volatility forecasting purposes. This model belongs to the class of threshold-autoregressive models, where changes in regimes are governed by past returns. The ability to capture changes in volatility regimes and using more accurate volatility measures a...
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| Format: | Article |
| Language: | English |
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MDPI AG
2015-08-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | http://www.mdpi.com/1911-8074/8/3/311 |