Forecast accuracy test of stochastic volatility models: traditional models vs
Volatility Hang Seng Index

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Forecast accuracy test of stochastic volatility models: traditional models vs Volatility Hang Seng Index

There are many researchers doing the work of evaluating the forecast performance between ARCH or GARCH type of volatility models and implied volatility index (mostly VIX). Since people have realised the importance of VIX now, the study about the forecast ability of implied volatility index model is...

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Bibliographic Details
Main Author:	Pan, Fangxin
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2013
Online Access:	https://eprints.nottingham.ac.uk/26541/

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