Forecasting volatility in Chinese and Hong Kong stock markets.

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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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Bibliographic Details
Main Author:	Wu, Ming
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/25232/

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