Evaluated the Success of Fractionally Integrated-GARCH Models on Prediction Stock Market Return Volatility in Gulf Arab Stock Markets
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- B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
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More about this item
Keywords
fractionally Integrated-GARCH; forecasting; evaluating; Gulf Cooperation Council (GCC); mean squared error; superior predictive ability;All these keywords.
JEL classification:
- R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
- Z0 - Other Special Topics - - General
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