Improving Realised Volatility Forecast for Emerging Markets
A study comparing four models for forecasting volatility in emerging markets found the HAR model best for long-term volatility and realised GARCH models for volatility clustering and persistence.
Featured in No. 17 on 28 Sep 2023 · 2 days after release · 13 citations today
- Released
- 26 Sep 2023
- First featured
- No. 17 · 28 Sep 2023
- Citations (Semantic Scholar)
- 13
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4584573
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).