yibm_data.mat
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 | mat |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/df4a6460-fe5e-4460-a7bb-b05cdbfed576/resource/8bda3d3f-e591-4c84-809a-18a1602b792e/download/yibm_data.mat |
| Last updated | November 15, 2022 |
| Created | November 15, 2022 |
