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- W3123644461 abstract "Abstract: Using 18 different specifications of the GARCH-M model and high frequency datafor the Colombian exchange market index (IGBC), we evaluate the out-of-sample performanceof the models. The models considered take in account the leverage effect, the day-of-the-weekeffect, and the hour-of-the-day effect. We evaluate 1000 one-step-ahead rolling forecasts foreach of the 18 models. Using different descriptive statistics and the Granger and Newbold(1976) test and the Diebold and Mariano (1995) test, we found that the best model would bethe GARCH-M without the leverage effect, the day-of-the-week effect, and the hour-of-the-dayeffect." @default.
- W3123644461 created "2021-02-01" @default.
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- W3123644461 date "2009-01-24" @default.
- W3123644461 modified "2023-09-27" @default.
- W3123644461 title "¿Que tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación de datos de alta frecuencia" @default.
- W3123644461 hasPublicationYear "2009" @default.
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