spa_src.oxo
Creators:
Peter Reinhard Hansen
;
Asger Lunde
From the dataset abstract
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM?$ exchange rate data and IBM return data,...
Source: A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | oxo |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/df4a6460-fe5e-4460-a7bb-b05cdbfed576/resource/c078ba0e-c05a-42e1-9e8f-af7971f77f18/download/spa_src.oxo |
| Last updated | November 15, 2022 |
| Created | November 15, 2022 |
