Modelling financial market volatility using asymmetric-skewed-arfimax and -harx models

HIGHLIGHTS

  • who: leemc from the Multimedia University , Cyberjaya, Selangor, Malaysia have published the research: Modelling Financial Market Volatility Using Asymmetric-Skewed-ARFIMAX and -HARX Models, in the Journal: (JOURNAL)
  • what: Although there are other more advanced forecast evaluation methods (Diebold and amp; Mariano, 1995; White, 2000; Hansen, 2005), the authors focus on the aforementioned measurements which evaluate the deviation between forecasts and realizations. Besides the standard realized volatility, the authors examine these models with the jump-robust volatilities such as tripower realized volatility and the nearest neighbor truncation realized volatility. As a conclusion, this study provides . . .

     

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