Matches in SemOpenAlex for { <https://semopenalex.org/work/W1559957118> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W1559957118 endingPage "15" @default.
- W1559957118 startingPage "1" @default.
- W1559957118 abstract "Problem statement : While modeling the volatility of returns is essential for many areas of finance, it is well known that financial return series exhibit many non-normal characteristics that cannot be captured by the standard GARCH model with a normal error distribution. But which GARCH model and which error distribution to use is still open to question, especially where the model that best fits the in-sample data may not give the most effective out-of-sample volatility forecasting ability. Approach: In this study, six simulated studies in GARCH(p,q) with six different error distributions are carried out. In each case, we determine the best fitting GARCH model based on the AIC criterion and then evaluate its outof sample volatility forecasting performance against that of other models. The analysis is then carried out using the daily closing price data from Thailand (SET), Malaysia (KLCI) and Singapore (STI) stock exchanges. Results : Our simulations show that although the best fitting model does not always provide the best future volatility estimates the differences are so insignificant that the estimates of the best fitting model can be used with confidence.The empirical application to stock markets also indicates that a non normal error distribution tends to improve the volatility forecast of returns. Conclusion : The volatility forecast estimates of the best fitted model can be reliably used for volatility forecasting. Moreover, the empirical studies demonstrate that a skewed error distribution outperforms other error distributions in terms of out-of-sample volatility forecasting." @default.
- W1559957118 created "2016-06-24" @default.
- W1559957118 creator A5037654975 @default.
- W1559957118 creator A5059994664 @default.
- W1559957118 creator A5091406489 @default.
- W1559957118 date "2012-04-16" @default.
- W1559957118 modified "2023-09-24" @default.
- W1559957118 title "Evaluating the volatility forecasting performance of best fitting GARCH models in emerging Asian stock markets" @default.
- W1559957118 cites W1884226980 @default.
- W1559957118 cites W1968904637 @default.
- W1559957118 cites W1979575715 @default.
- W1559957118 cites W1982487535 @default.
- W1559957118 cites W1999996900 @default.
- W1559957118 cites W2005011583 @default.
- W1559957118 cites W2013109882 @default.
- W1559957118 cites W2061160212 @default.
- W1559957118 cites W2065513198 @default.
- W1559957118 cites W2069317099 @default.
- W1559957118 cites W2072453929 @default.
- W1559957118 cites W2100011707 @default.
- W1559957118 cites W2111416403 @default.
- W1559957118 cites W2119848424 @default.
- W1559957118 cites W2134769070 @default.
- W1559957118 cites W3121384703 @default.
- W1559957118 cites W2241424171 @default.
- W1559957118 hasPublicationYear "2012" @default.
- W1559957118 type Work @default.
- W1559957118 sameAs 1559957118 @default.
- W1559957118 citedByCount "4" @default.
- W1559957118 countsByYear W15599571182016 @default.
- W1559957118 countsByYear W15599571182017 @default.
- W1559957118 countsByYear W15599571182021 @default.
- W1559957118 crossrefType "journal-article" @default.
- W1559957118 hasAuthorship W1559957118A5037654975 @default.
- W1559957118 hasAuthorship W1559957118A5059994664 @default.
- W1559957118 hasAuthorship W1559957118A5091406489 @default.
- W1559957118 hasConcept C105795698 @default.
- W1559957118 hasConcept C117996083 @default.
- W1559957118 hasConcept C149782125 @default.
- W1559957118 hasConcept C162324750 @default.
- W1559957118 hasConcept C166957645 @default.
- W1559957118 hasConcept C204036174 @default.
- W1559957118 hasConcept C205649164 @default.
- W1559957118 hasConcept C23922673 @default.
- W1559957118 hasConcept C24189920 @default.
- W1559957118 hasConcept C33923547 @default.
- W1559957118 hasConcept C60092789 @default.
- W1559957118 hasConcept C91602232 @default.
- W1559957118 hasConceptScore W1559957118C105795698 @default.
- W1559957118 hasConceptScore W1559957118C117996083 @default.
- W1559957118 hasConceptScore W1559957118C149782125 @default.
- W1559957118 hasConceptScore W1559957118C162324750 @default.
- W1559957118 hasConceptScore W1559957118C166957645 @default.
- W1559957118 hasConceptScore W1559957118C204036174 @default.
- W1559957118 hasConceptScore W1559957118C205649164 @default.
- W1559957118 hasConceptScore W1559957118C23922673 @default.
- W1559957118 hasConceptScore W1559957118C24189920 @default.
- W1559957118 hasConceptScore W1559957118C33923547 @default.
- W1559957118 hasConceptScore W1559957118C60092789 @default.
- W1559957118 hasConceptScore W1559957118C91602232 @default.
- W1559957118 hasIssue "2" @default.
- W1559957118 hasLocation W15599571181 @default.
- W1559957118 hasOpenAccess W1559957118 @default.
- W1559957118 hasPrimaryLocation W15599571181 @default.
- W1559957118 hasRelatedWork W1491061406 @default.
- W1559957118 hasRelatedWork W1526374754 @default.
- W1559957118 hasRelatedWork W1604768995 @default.
- W1559957118 hasRelatedWork W1979532037 @default.
- W1559957118 hasRelatedWork W2073397294 @default.
- W1559957118 hasRelatedWork W2119511312 @default.
- W1559957118 hasRelatedWork W2188771470 @default.
- W1559957118 hasRelatedWork W2189608108 @default.
- W1559957118 hasRelatedWork W2416168347 @default.
- W1559957118 hasRelatedWork W2618859334 @default.
- W1559957118 hasRelatedWork W2762805735 @default.
- W1559957118 hasRelatedWork W2782101742 @default.
- W1559957118 hasRelatedWork W2953614733 @default.
- W1559957118 hasRelatedWork W2991428028 @default.
- W1559957118 hasRelatedWork W3034919899 @default.
- W1559957118 hasRelatedWork W3121969715 @default.
- W1559957118 hasRelatedWork W3122797027 @default.
- W1559957118 hasRelatedWork W3123277710 @default.
- W1559957118 hasRelatedWork W3124026849 @default.
- W1559957118 hasRelatedWork W3150845720 @default.
- W1559957118 hasVolume "12" @default.
- W1559957118 isParatext "false" @default.
- W1559957118 isRetracted "false" @default.
- W1559957118 magId "1559957118" @default.
- W1559957118 workType "article" @default.