In this paper we analyze the influence of news on persistence using some variables related to technical analysis. The method is applied to some assets of the italian MIB30. It has been observed that the introduction of technical rules in the variance equation can reduce the volatility persistence and improve the forecasting performance of the models

Analisi tecnica e previsione della volatilità nelle serie storiche finanziarie

GROSSI, Luigi
2001-01-01

Abstract

In this paper we analyze the influence of news on persistence using some variables related to technical analysis. The method is applied to some assets of the italian MIB30. It has been observed that the introduction of technical rules in the variance equation can reduce the volatility persistence and improve the forecasting performance of the models
GARCH models, prediction, MIB30
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/242456
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