Forecasting the realized volatility of CSI 300
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DOI: 10.1016/j.physa.2019.121799
Abstract: Abstract According to the characteristics of realized volatility existing in Shanghai and Shenzhen 300 index (China Securities Index 300, CSI 300), the GARCH family model is introduced to describe the ARCH effect of error sequences… read more here.
Keywords: volatility; garch family; volatility csi; realized volatility ... See more keywords