All Questions
2 questions
3
votes
2
answers
2k
views
Testing if the volatility of single stocks and/or indices have risen in the past
I'm currently writing my bachelor thesis and the main goal of my paper is to test if the volatility of single stocks and indices have risen in the past. My data consists of all stocks of the SMI and ...
- 164
2
votes
1
answer
678
views
Best performance evaluation measure for GARCH model? [duplicate]
I want to compare the performance of various volatility models like GARCH, eGARCH, and gjrGARCH from actual volatility (computed using high frequency data). I found three common performance evaluation ...
- 2,320