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How to Increase Accuracy of Volatility Forecasts Based on GARCH Models

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  • Piotr Fiszeder

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  • Piotr Fiszeder, 2008. "How to Increase Accuracy of Volatility Forecasts Based on GARCH Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 111-118.
    • Handle: RePEc:cpn:umkdem:v:8:y:2008:p:111-118
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    File URL: http://www.dem.umk.pl/dem/archiwa/v8/14_Fiszeder.pdf
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    References listed on IDEAS

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    1. West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October.
    2. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
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