GARCH forecasting performance under different distribution assumptions

Article Abstract:

The application of the theory of realized variance, to investigate the effectiveness of the Generalized Auto Regressive Conditional Heteroscedasticity model while forecasting the volatility of the stock markets, is described. The evaluation of the intra-day trading data, collected for the Standard and Poor index for this purpose, is presented.

Models, United States, Measurement, Economics, Heteroscedasticity, Economic theory, Volatility (Finance)

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Evaluating predictive performance of value-at-risk models in emerging markets: a reality check

Article Abstract:

A study examining the predictive power of various classes of value-at-risk models is presented. A reality check test, as suggested by White (2000), is used on these models to examine their predictive performance in stock markets of five Asian countries that underwent the financial crisis from 1997 to 1998.

Asia, Capital funds & cash flow, Usage, Stocks, Mathematical models, Valuation

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Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing

Article Abstract:

A study examining the relationship between stock market fluctuations and macroeconomic variables is presented. The efficacy of these variables for forecasting the returns from stock market is examined vis-a-vis benchmark models, which do not use these variables.

United Kingdom, Analysis, Macroeconomics

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