The Forecasting Ability of GARCH Models for the 2003–07 Crisis: Evidence from S&P500 Index Volatility
This article studies the ability of the GARCH family of models to accurately forecast the volatility of S&P500 stock index returns across the financial crisis that affected markets in 2003–07. We find the GJR-GARCH (1,1) model to be superior in its ability to forecast the volatility of the init...
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| Format: | Article |
| Language: | English |
| Published: |
Lahore School of Economics
2012-06-01
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| Series: | The Lahore Journal of Business |
| Subjects: | |
| Online Access: | https://journals.lahoreschool.edu.pk/LJB/LJB/article/view/3 |
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