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- W2236066514 abstract "This article provides the in-sample estimation and evaluates the out of-sample conditional mean and volatility forecast performance of the conventional Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) and the benchmark RiskMetrics model on the US real estate finance data for the pre-crisis and post-crisis periods in 2008. The empirical results show that the RiskMetrics model performed satisfactorily in the in-sample estimation but poorly in the out-of-sample forecast. For the post-crisis out-of-sample forecasts, all models naturally performed poorly in conditional mean and volatility forecast." @default.
- W2236066514 created "2016-06-24" @default.
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- W2236066514 date "2011-01-01" @default.
- W2236066514 modified "2023-09-27" @default.
- W2236066514 title "A study on the volatility forecast of the US housing market in the 2008 crisis" @default.
- W2236066514 hasPublicationYear "2011" @default.
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