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Keywords: exponential GARCH
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Journal Articles
Forecasting Market Volatility: The Role of Earnings Announcements
Available to Purchase
Journal:
The Accounting Review
The Accounting Review (2024) 99 (4): 251–279.
Published: 01 July 2024
... 2023 2024 short-run stock market volatility forecasting earnings announcements macroeconomic announcements exponential GARCH out-of-sample tests We benefitted from discussions with Bill Schwert and comments and suggestions made by Vivian Fang, Dave Harris, Marilyn Johnson...
Includes: Supplementary data
