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- W3171202492 abstract "Volatility Forecasting is an interesting challenging topicin current financial instruments as it is directly associated with profits. There are many risks and rewards directly associated with volatility. Hence forecasting volatility becomes most dispensable topic in finance. The GARCH distributions play an important role in the risk measurement and option pricing. In this paper the motive is to measure the performance of GARCH techniques for forecasting volatility by using different distribution model. We have used 9 variations in distribution models that are used to forecast the volatility of a stock entity. The different GARCH distribution models observed in this paper are Std, Norm, SNorm, GED, SSTD, SGED, NIG, GHYP and JSU. Volatility is forecasted for 10 days in advance and values are compared with the actual values to find out the best distribution model for volatility forecast. From the results obtain it has been observed that GARCH with GED distribution models has outperformed all models." @default.
- W3171202492 created "2021-06-22" @default.
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- W3171202492 date "2016-01-01" @default.
- W3171202492 modified "2023-09-28" @default.
- W3171202492 title "Volatility Forecasting – A Performance Measure of Garch Techniques With Different Distribution Models" @default.
- W3171202492 doi "https://doi.org/10.2139/ssrn.3448336" @default.
- W3171202492 hasPublicationYear "2016" @default.
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