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Gulay et al., 2018 - Google Patents

Comparison of forecasting performances: Does normalization and variance stabilization method beat GARCH (1, 1)‐type models? Empirical Evidence from the Stock …

Gulay et al., 2018

Document ID
7454554593336708470
Author
Gulay E
Emec H
Publication year
Publication venue
Journal of Forecasting

External Links

Snippet

In this paper, we present a comparison between the forecasting performances of the normalization and variance stabilization method (NoVaS) and the GARCH (1, 1), EGARCH (1, 1) and GJR‐GARCH (1, 1) models. Hence the aim of this study is to compare the out‐of …
Continue reading at onlinelibrary.wiley.com (other versions)

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