Modelling and forecasting WIG20 daily returns

The purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in speci cation of the...

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Bibliographic Details
Main Author: Amado, Cristina (author)
Other Authors: Silvennoinen, Annastiina (author), Teräsvirta, Timo (author)
Format: article
Language:eng
Published: 2017
Subjects:
Autoregressive conditional heteroskedasticity
Forecasting volatility
Modelling volatility
Multiplicative time-varying GARCH
Smooth transition
Social Sciences
Online Access:http://hdl.handle.net/1822/54675
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/54675

Internet

http://hdl.handle.net/1822/54675

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