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A new Forecasting combination system for predicting Volatility
Forecast combination models have been broadly studied and often used to improve forecast accuracy. this article presents a new non-linear composite model to forecast the volatility of asset returns. our model is composed of a set of GaRCH models fitted to a time series dataset using different...
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| Publicado no: | INNOVAR. Revista de Ciencias Administrativas y Sociales |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Universidad Nacional de Colombia
2013
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=81828692002 |
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