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

Rapport Année : 1994

(1) ,

1

Michael Rockinger

M. Crouhy

Forecasting Conditional Volatility Garch Change Regime Models International Evidence

Economie et sciences de la décision

https://hec.hal.science/hal-00612796

Soumis le : dimanche 31 juillet 2011-15:00:05

Dernière modification le : vendredi 24 mars 2023-14:52:54

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⟩

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