Volatility Forecasting in Bull and Bear Markets:
Evidence from the US stock market

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Volatility Forecasting in Bull and Bear Markets: Evidence from the US stock market

This thesis considers the performance of variance forecasting in US market index during bull and bear markets. The market index I investigate is the Standard & Poor’s 500 and the bear period I examine is from 15/8/2000 until 30/1/2003 and the bull period is from 3/3/2003 until 30/3/2007. The tec...

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Bibliographic Details
Main Author:	Sideris, Epameinondas
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2016
Subjects:	Forecasting Volatility Bear and Bull Markets S&P500 Index EWMA GARCH EGARCH Implied Volatility
Online Access:	https://eprints.nottingham.ac.uk/36553/

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