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Applied Economics Letters Volume 22, 2015 - Issue 18
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Original Articles

Forecasting intraday volatility and VaR using multiplicative component GARCH model

Xundi DiaoSchool of Electronic Information & Electrical Engineering, Shanghai Jiao Tong University, Shanghai, China;Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong, Shatin, N.T., Hong KongCorrespondence[email protected]
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Bin TongGlorious Sun School of Business and Management, DongHua University, Shanghai, ChinaView further author information
Pages 1457-1464 | Published online: 27 Apr 2015

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