Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility
Predicting realized volatility and value-at-risk for the most liquid Russian stocks using GARCH, ARFIMA and HAR models, using implied volatility calculated based on option prices and Google Trends data. Investigation of errors in model specification.
| Рубрика | Экономика и экономическая теория |
| Вид | статья |
| Язык | английский |
| Дата добавления | 25.01.2021 |
| Размер файла | 200,3 K |
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