Open AccessImproved Forecast Ability of Oil Market Volatility Based on combined Markov Switching and GARCH-class Model
Author(s) -
Yu Runfang,
Jiangze Du,
Xiaotao Liu
Publication year - 2017
Publication title -
procedia computer science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.334
H-Index - 76
ISSN - 1877-0509
DOI - 10.1016/j.procs.2017.11.388
Subject(s) - volatility (finance) , west texas intermediate , econometrics , autoregressive conditional heteroskedasticity , stochastic volatility , crude oil , forward volatility , implied volatility , economics , volatility smile , markov chain , mathematics , statistics , geology , petroleum engineering
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