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02-068/4 - Stock Index Volatility Forecasting with High Frequency Data


  • Authors
    Eugenie Hol, University of Birmingham; Siem Jan Koopman, Free University Amsterdam
  • Publication date
    June 28, 2002
  • Keywords
    ARFIMA; Financial market volatility; GARCH; Realised volatility; Stochastic volatility; Stock index returns; Unobserved ARMA component
  • JEL
    C22; C53; G15