Affiliation:
1. Department of Finance, Shih Hsin University, no. 111, Section 1, Mu-Cha Road, Taipei 116, Taiwan
Abstract
The previous literature commonly concluded that GARCH models provide better volatility forecasts in financial markets. This paper adopts the backtesting criteria, the multivariate extension of the Diebold and Mariano (1995) test, RMSE (root mean squared errors), and MAE (mean absolute errors) to compare the performances of selected conditional heteroscedastic models for structured products in the low oil price and high oil price periods. The results illustrate that, in general, the performance of GARCH type seems to be better in the whole periods whereas it is not in the low period and the high oil price period.
Cited by
3 articles.
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