Analyzing Performance Of Garch Models In Nse
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More about this item
Keywords
volatility clustering; garch; egarch; tgarch; rmse; mae; mape; tic;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2015-05-30 (Forecasting)
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