Forecasting Stock Market Volatility with Realized Volatility
The paper presents the REGARCH-CDJI model for predicting stock market volatility, which performs better than other models when applied to Shanghai Stock Exchange Composite index data.
Featured in No. 16 on 21 Sep 2023 · on release day
- Released
- 21 Sep 2023
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- No. 16 · 21 Sep 2023
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- Identifier
- SSRN 4578463
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