Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence - Archive ouverte HAL Access content directly
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Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence

(1) ,
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Michael Rockinger
  • Function : Author
Groupement de Recherche et d'Etudes en Gestion à HEC
M. Crouhy
  • Function : Author

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Humanities and Social Sciences Economics and Finance Economy and decision science

Antoine Haldemann  : Connect in order to contact the contributor

https://hal-hec.archives-ouvertes.fr/hal-00612796

Submitted on : Sunday, July 31, 2011-3:00:05 PM

Last modification on : Saturday, June 25, 2022-10:52:40 AM

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hal-00612796 , version 1 (31-07-2011)

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  • HAL Id : hal-00612796 , version 1

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Michael Rockinger, M. Crouhy. Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence. 1994. ⟨hal-00612796⟩

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