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...
| Hlavní autor: | |
|---|---|
| Médium: | Článek |
| Jazyk: | English |
| Vydáno: |
Brazilian Society of Finance
2012-09-01
|
| Edice: | Revista Brasileira de Finanças |
| Témata: | |
| On-line přístup: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3871 |