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...
| Autor principal: | |
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/1822/54675 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/54675 |