Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence

Reports Year :

(1) ,

1

Michael Rockinger

M. Crouhy

Forecasting Conditional Volatility Garch Change Regime Models International Evidence

Economy and decision science

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

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

Last modification on : Friday, March 24, 2023-2:52:54 PM

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

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