Volatility Dynamics in Regime-Switching Models
The study contrasts the forecasting performances of OSBetatEGARCH and MSBetatEGARCH in the US stock market, proving OSBetatEGARCH's superiority.
Featured in No. 70 on 17 Oct 2024 · 3 days after release
- Released
- 14 Oct 2024
- First featured
- No. 70 · 17 Oct 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 4987141
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