GARCH Family Models vs EWMA: Which is the Best Model to Forecast Volatility of the Moroccan Stock Exchange Market? || Modelos de la familia GARCH vs EWMA: ¿cuál es el mejor modelo para pronosticar la volatilidad del mercado de valores marroquí?

GARCH Family Models vs EWMA: Which is the Best Model to Forecast Volatility of the Moroccan Stock Exchange Market? || Modelos de la familia GARCH vs EWMA: ¿cuál es el mejor modelo para pronosticar la volatilidad del mercado de valores marroquí?

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk management; they have become one of the major topics in financial econometrics and they are principally and continuously used in the pricing of financial assets and the Value at Risk, as we...

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Bibliographic Details
Main Authors: El Jebari, Ouael, Hakmaoui, Abdelati
Format: Article
Language:English
Published: Pablo de Olavide University 2018-12-01
Series:Revista de Métodos Cuantitativos para la Economía y la Empresa
Subjects:
volatility forecasting
volatility modeling
stylized facts
GARCH family models
EWMA
pronósticos de volatilidad
modelización de volatilidad
hechos estilizados
modelos de la familia GARCH
Online Access:https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2662/3046

Internet

https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2662/3046

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