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A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR

Matias, Ricardo Miguel Borges

In order to study the volatility of a stock market, several volatility models have been created, studied and improved throughout the time. Due to the extreme and actual situation in international stock market’s volatility, the main objective of this thesis is to focus on the FCGARCH model created by Medeiros and Veiga (2009), and compare it with some of the most popular asymmetric autoregressive conditional het...

Date: 2012   |   Origin: Repositório ISCTE
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