Volatility forecasting with Mixed Data Sampling
In this thesis I am going to present the Mixed Data Sampling (MIDAS) regression, GARCH, EWMA and other competitor models and their specifications. I introduce our modelling framework and the predictive ability tests we used. We take the component of S&P 500 for panel modelling and we compare the...
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| Format: | Thesis |
| Language: | English |
| Published: |
2022-01-03
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| Online Access: | http://hdl.handle.net/10831/92025?sublib=L_200 |
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