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Showing 1 to 2 of 2 for “"Extended Garch Model"”.
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Three Essays on Empirical Asset Pricing
… variance of daily stock returns using an extended GARCH model with event-related dummy variables to capture the predictable components of volatility change, such as earnings announcements, macroeconomic announcements, day-of-the-week effects, etc. We examine the out-of-sample forecasting …
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Estimation of the linkage matrix in O-GARCH model and GO-GARCH model
… methods for the factor loading matrix in modeling multivariate volatility processes. The key step of the methods is based on the weighted scatter estimators, which does not involve optimizing any objective function and was embedded with robust estimation properties. The method can …