Forecasting daily conditional volatility and h-step-ahead short and long Value-at-Risk accuracy: Evidence from financial data
In this article we evaluate the daily conditional volatility and h-step-ahead Value at Risk (VaR) forecasting power of three long memory GARCH-type models (FIGARCH, HYGARCH & FIAPARCH). The forecasting exercise is done for financial assets including seven stock indices (Dow Jones, Nasdaq100, S&a...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2016-06-01
|
| Series: | Journal of Finance and Data Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918816300046 |