ENHANCING VOLATILITY MODELING WITH LOG-LINEAR REALIZED GARCH-CJ: EVIDENCE FROM THE TOKYO STOCK PRICE INDEX
This study compares the Log-linear Realized GARCH (LRG) and its extension with Continuous and Jump components (LRG-CJ) in modeling the volatility of financial assets, using daily data from the Tokyo Stock Price Index (TOPIX) over 2004–2011. The urgency arises from the need for more accurate volatili...
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| Asıl Yazarlar: | , , |
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| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
Universitas Pattimura
2025-11-01
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| Seri Bilgileri: | Barekeng |
| Konular: | |
| Online Erişim: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/18557 |
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