Comparison of forecasting performances: Does normalization and variance stabilization method beat GARCH(1,1)‐type models? Empirical evidence from the stock markets

In this paper, we present a comparison between the forecasting performances of the normalization and variance stabilization method (NoVaS) and the GARCH(1,1), EGARCH(1,1) and GJR‐GARCH(1,1) models. Hence the aim of this study is to compare the out‐of‐sample forecasting performances of the models use...

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Veröffentlicht in:	Journal of forecasting 2018-03, Vol.37 (2), p.133-150
Hauptverfasser:	Gulay, Emrah, Emec, Hamdi
Format:	Artikel
Sprache:	eng
Schlagworte:	ARCH/GARCH models Arithmetic Comparative analysis Economic models financial time series Forecasting forecasting performance measures Forecasting techniques Normalization NoVaS Securities markets Stabilization Studies volatility
Online-Zugang:	Volltext
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