Where did the GARCH Models Perform Best in Terms of Volatility Forecasting? Equity vs. Commodities Markets

Iulian Lolea

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 Lolea
Subject(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

Details
Contents

Journal: Academic Journal of Economic Studies

Issue Year: 3/2017
Issue No: 3
Page Range: 79-86
Page Count: 8
Language: English

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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

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