Predicting the financial crisis volatility
A volatility model must be able to forecast volatility even in extreme situations. Thus, the main objective of this paper, and due to the most recent increase in international stock markets' volatility, is to check which one of the most popular autoregressive conditional heteroskedasticity mode...
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| Format: | article |
| Language: | eng |
| Published: |
2015
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| Online Access: | https://ciencia.iscte-iul.pt/public/pub/id/6335 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/10331 |