A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR
In order to study the volatility of a stock market, several volatility models have been created, studied and improved throughout the time. Due to the extreme and actual situation in international stock market’s volatility, the main objective of this thesis is to focus on the FCGARCH model created by...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2014
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| Texto completo: | http://hdl.handle.net/10071/6430 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/6430 |