Modeling asymmetric volatility of financial assets using univariate GARCH models: An Indian perspective

Modeling asymmetric volatility of financial assets using univariate GARCH models: An Indian perspective

In recent years, numerous models with various amounts of variance have been developed to estimate and forecast important characteristics of time series data. While there are many studies on asymmetric volatility and accuracy testing of univariate Generalized Autoregressive Conditional Heteroscedasti...

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Bibliographic Details
Main Authors: Neenu Chalissery, Mosab I. Tabash, Mohamed Nishad T., Maha Rahrouh
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2022-12-01
Series:Investment Management & Financial Innovations
Subjects:
asymmetric volatility
financial assets
model comparison
univariate Generalized Autoregressive Conditional Heteroscedasticity models
Online Access:https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/17424/IMFI_2022_04_Chalissery.pdf

Internet

https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/17424/IMFI_2022_04_Chalissery.pdf

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