Random coefficient volatility models
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References listed on IDEAS
- Thavaneswaran, A. & Appadoo, S.S. & Peiris, S., 2005. "Forecasting volatility," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 1-10, November.
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- Sabiruzzaman, Md. & Monimul Huq, Md. & Beg, Rabiul Alam & Anwar, Sajid, 2010. "Modeling and forecasting trading volume index: GARCH versus TGARCH approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 141-145, May.
More about this item
KeywordsStochastic volatility Random coefficient Kurtosis Sign-switching;
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