Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators

• Main Authors: De Khoo, Zhi, Ng, Kok Haur, Koh, You Beng, Ng, Kooi Huat
• Format: Article
• Published: Elsevier Science 2024
• Subjects: HF Commerce; QA Mathematics
• Online Access: http://eprints.um.edu.my/45557/; https://doi.org/10.1016/j.najef.2024.102112

This paper proposes an unbiased combined weighted (CW) volatility measure and weighted volatility indicators (WVI) that integrates the return- and range-based volatility measures to model the dynamics volatility of stock returns. The main feature of the CW measure is that it is formulated based on t...