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...
| Príomhchruthaitheoir: | |
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| Formáid: | Alt |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Brazilian Society of Finance
2012-09-01
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| Sraith: | Revista Brasileira de Finanças |
| Ábhair: | |
| Rochtain ar líne: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3871 |