Where did the GARCH Models Perform Best in Terms of Volatility Forecasting? Equity vs. Commodities Markets
Where did the GARCH Models Perform Best in Terms of Volatility Forecasting? Equity vs. Commodities Markets
Author(s): Iulian LoleaSubject(s): Economy, National Economy, Micro-Economics, Socio-Economic Research
Published by: Editura Universitară & ADI Publication
Keywords: Volatility forecasting, commodities; equity markets; statistical loss functions; out-of-sample
Journal: Academic Journal of Economic Studies
- Issue Year: 3/2017
- Issue No: 3
- Page Range: 79-86
- Page Count: 8
- Language: English