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

Michael Rockinger 1 M. Crouhy
1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
Keywords : Forecasting Conditional Volatility Garch Change Regime Models International Evidence
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https://hal-hec.archives-ouvertes.fr/hal-00612796
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Sunday, July 31, 2011 - 3:00:05 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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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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