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A Hybrid Fuzzy GJR-GARCHModeling Approach for Stock Market Volatility Forecasting
Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibovespa indexes. The model comprises both t...
Shranjeno v:
| izdano v: | Revista Brasileira de Finanças |
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| Glavni avtor: | |
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
Sociedade Brasileira de Finanças
2012
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| Teme: | |
| Online dostop: | https://www.redalyc.org/articulo.oa?id=305824788003 |
| Oznake: |
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