Iangao25 / comparison-between-GARCH-type-modelsView external linksLinks
The project is advised by Professor Robert Engle in his FINANCIAL ECONOMETRICS PhD course. I made comparison between the performance of different GARCH-type models, including GARCH, EGARCH, TGARCH and GJRGARCH, when forecasting implied volatility.
☆10Sep 14, 2018Updated 7 years ago
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