Evaluating the performance of GARCH models using White´s Reality Check
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Bibliographic InfoPaper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 453.
Length: 24 pages
Date of creation: Apr 2002
Date of revision:
Publication status: Published in Brazilian Review of Econometrics, v. 25, n.1, 2005
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time seris; GARCH models; bootstrap; reality check; volatility; financial econometrics; Monte Carlo; forecasting; riskmetrics; moving average;
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- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-04-25 (All new papers)
- NEP-ECM-2002-04-25 (Econometrics)
- NEP-ETS-2002-04-25 (Econometric Time Series)
- NEP-LAB-2002-04-25 (Labour Economics)
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- Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
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