Hamdi Emec

[ 1 ] - The Stock Returns Volatility based on the GARCH (1,1) Model: The Superiority of the Truncated Standard Normal Distribution in Forecasting Volatility

I n this paper, we specify that the GARCH(1,1) model has strong forecasting volatility and its usage under the truncated standard normal distribution (TSND) is more suitable than when it is under the normal and student-t distributions. On the contrary, no comparison was tried between the forecasting performance of volatility of the daily return series using the multi-step ahead forec...