Andrea Kerma - Academia.edu (original) (raw)
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UNAM Universidad Nacional Autónoma de México
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This paper concentrates on the forecasting performance of different GARCH models in five differen... more This paper concentrates on the forecasting performance of different GARCH models in five different stock indexes: Eurostoxx50, Nikkei, FTSE100, S&P500, and CAC. The models which are used to forecast volatility are GARCH(1,1), EGARCH, APARCH, CGARCH, and GJR. This paper will perform an in-sample estimation of these GARCH models and then will compare their out of sample forecasting performance. In addition to that we will perform Diebold-Mariano tests to evaluate the predictive accuracy of the models
This paper concentrates on the forecasting performance of different GARCH models in five differen... more This paper concentrates on the forecasting performance of different GARCH models in five different stock indexes: Eurostoxx50, Nikkei, FTSE100, S&P500, and CAC. The models which are used to forecast volatility are GARCH(1,1), EGARCH, APARCH, CGARCH, and GJR. This paper will perform an in-sample estimation of these GARCH models and then will compare their out of sample forecasting performance. In addition to that we will perform Diebold-Mariano tests to evaluate the predictive accuracy of the models