The role of implied volatility in volatility combining forecasts
This study explores the role of implied volatility (IV) in volatility combining forecasts for S&P 500 and DAX markets. A range of GARCH models, ad hoc models and STES models were developed to identify the best performing model that served as a base model for subsequent combining process, of whic...
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| Main Authors: | , , , , |
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| Format: | Article |
| Published: |
Inderscience Publishers
2024
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| Online Access: | http://psasir.upm.edu.my/id/eprint/114901/ https://www.inderscienceonline.com/doi/abs/10.1504/IJEBR.2024.140794 |
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