2011
DOI: 10.1080/09603107.2010.535781
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Volatility forecasting in emerging markets with application of stochastic volatility model

Abstract: The volatility of financial asset returns is a key variable in risk management and derivative pricing. The behaviours of emerging equity markets are now significant to global economies. This research examines the performance of five popular categories of volatility forecasting models on 31 emerging and developed stock indices with data series comprising recent 7 years. A modification in estimation processes of the Stochastic Volatility Model (SVM) is proposed. The empirical analysis shows that the equity marke… Show more

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