Browsing FGV EESP - MPFE: Dissertações, Mestrado Profissional em Finanças e Economia by Title "Forecasting daily volatility using high frequency financial data"

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    • Forecasting daily volatility using high frequency financial data 

      Alves, Thiago Winkler
      2014-08-06
      Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in ...