Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements

Siem Jan Koopman، نويسنده , , Borus Jungbacker، نويسنده , , Eugenie Hol، نويسنده ,

دوماهنامه با شماره پیاپی سال 2005

31

445

475

Unobserved components , Generalised autoregressive conditional heteroskedasticity model , Long memory model , Realisedvolatility , Stochastic volatility model , Superior predictive ability

Journal of Empirical Finance

2005

Journal of Empirical Finance

130807