Forecasting Volatilities and Correlations with EGARCH Models

@inproceedings{Cumby1993ForecastingVA,
  title={Forecasting Volatilities and Correlations with EGARCH Models},
  author={Robert E. Cumby and Stephen Figlewski and Joel Hasbrouck},
  year={1993}
}
Volatility varies randomly over time, making forecasting it d@cult. Formal models for systems with timevarying volatility have been developed in recent years, and widely applied in economics and finance. Models in the Autoregressive Conditional Heteroscedasticity (ARCH) family have been particularly popular. Prior studies of ARCH-type models of securities return variances have looked at a single asset and focused on in-sample explanation of volatility movements, rather than forecasting. This… Expand
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