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- W1978805513 abstract "The study examines the relative ability of various models to forecast daily stock index futures volatility. The forecasting models that are employed range from naïve models to the relatively complex ARCH-class models. It is found that among linear models of stock index futures volatility, the autoregressive model ranks first using the RMSE and MAPE criteria. We also examine three nonlinear models. These models are GARCH-M, EGARCH, and ESTAR. We find that nonlinear GARCH models dominate linear models utilizing the RMSE and the MAPE error statistics and EGARCH appears to be the best model for forecasting stock index futures price volatility." @default.
- W1978805513 created "2016-06-24" @default.
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- W1978805513 date "2002-02-01" @default.
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- W1978805513 title "Forecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models" @default.
- W1978805513 doi "https://doi.org/10.1111/1540-6288.00006" @default.
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