Asymmetry dynamic volatility forecast evaluations using interday and intraday data

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Asymmetry dynamic volatility forecast evaluations using interday and intraday data

The accuracy of financial time series forecasts often rely on the model precision and the availability of actual observations for forecast evaluations. This study aimed to tackle these issues in order to obtain a suitable asymmetric time-varying volatility model that outperformed in the forecast...

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Bibliographic Details
Main Authors:	Chin, Wen Cheong, Ng, Sew Lai, Zaidi Isa, Abu Hassan Shaari Mohd Nor
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2012
Online Access:	http://journalarticle.ukm.my/5536/ http://journalarticle.ukm.my/5536/1/16%2520Chin%2520Wen%2520Cheong.pdf

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