Estimating stock market volatility using asymmetric GARCH models
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- Dima Alberg & Haim Shalit & Rami Yosef, 2006. "Estimating Stock Market Volatility Using Asymmetric GARCH Models," Working Papers 0610, Ben-Gurion University of the Negev, Department of Economics.
References listed on IDEAS
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- Piotr Wdowinski & Marta Malecka, 2010. "Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets," CESifo Working Paper Series 2974, CESifo Group Munich.
- Lakshmi Padmakumari & S Maheswaran, 2016. "A Regression Based Approach to Capturing the Level Dependence in the Volatility of Stock Returns," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(12), pages 706-718, December.
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- John Galbraith & Dongming Zhu, 2009. "A Generalized Asymmetric Student-T Distribution With Application To Financial Econometrics," Departmental Working Papers 2009-02, McGill University, Department of Economics.
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- Výrost, Tomáš & Baumöhl, Eduard, 2009.
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- Shcherba, Alexandr, 2012. "Market risk valuation modeling for the European countries at the financial crisis of 2008," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 20-35.
- Kambouroudis, Dimos S. & McMillan, David G., 2015. "Is there an ideal in-sample length for forecasting volatility?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 114-137.
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