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Forecasting
C/F/117. Forecasting Financial Market Volatility
- WORDS:
- 2300
- DATE:
- 2006
- PRICE:
- 29.99 GBP
The following research paper is devoted to analysis of the volatility on the financial markets. The analysis is based on univariate time series properties of the Nasdaq Financial Sector index. The data sample for research covers the period from 12/1992 to 12/2005. The research employs ARMA, and GARCH family models and discusses implication of the asymmetric volatility in the financial data, particular focus is given to feedback trading analysis. The step-by-step process of model selection is fully described, which make this paper particular useful for students interested in econometrics.
KEYWORDS: f, forecasting, financial, market, volatility,
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