Forecasting volatility in Chinese and Hong Kong stock markets.
This paper analyses the forecasting performance of historical volatility models and GARCH-class models of Shenzhen component index, Shanghai composite index and Hang Seng index at weekly and daily frequency under both symmetric and asymmetric loss functions. Under symmetric loss functions exclude Th...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25232/ |