[R-SIG-Finance] Application of forecasting result in GARCH model

tung110891 dangthanhtung91 at gmail.com
Mon Jul 16 04:05:06 CEST 2012


In introduction of some books related with GARCH model, authors usually
recommend lots of application of GARCH model, for instant, you can apply
GARCH model to diverse fields as risk management, portfolio management and
asset allocation, option price, foreign exchange. However, they do not teach
real method in order to use forecasting results of GARCH model in above
applications. 
I take a lot of difficulties to apply these forecasting results. Can someone
recommend me some books or materials related with above problems? 
Thank you very much for any answer you provide.


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