Score-Driven Model for Stock Indices
The BetatQVAR model, a volatility model for the t distribution, outperforms other models in statistical and density forecasting when used on 15 international stock indices.
Featured in No. 60 on 7 Aug 2024 · 2 days after release
- Released
- 5 Aug 2024
- First featured
- No. 60 · 7 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4916799
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