A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting

A Hybrid Fuzzy GJR-GARCH Modeling 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...

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Chi tiết về thư mục
Tác giả chính:	Leandro Maciel
Định dạng:	Bài viết
Ngôn ngữ:	English
Được phát hành:	Brazilian Society of Finance 2012-09-01
Loạt:	Revista Brasileira de Finanças
Những chủ đề:	Econometrics Finance Mathematics
Truy cập trực tuyến:	http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3871

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