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Keywords: Realized volatility
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Journal Articles
International Journal of Managerial Finance (2013) 9 (1): 70–87.
Published: 22 February 2013
...Jianfeng Zhang; Wenxiu Hu Purpose – The purpose of this paper is to examine whether realized volatility can provide additional information on the volatility process to the GARCH and EGARCH model, based on the data of Chinese stock market. Design/methodology/approach – The realized...
Journal Articles
International Journal of Managerial Finance (2012) 8 (4): 365–380.
Published: 21 September 2012
... at: a.hoque@murdoch.edu.au © Emerald Group Publishing Limited 2012 Foreign exchange options Exchange rates Modelling Implied volatility Moneyness volatility Realized volatility F‐test Granger‐Newbold test Diebold‐Mariano test Volatility forecasting is a crucial endeavour...
