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Comparing the Forecasting Ability of Deferent Models of Volatility in Tehran Exchange Dividend Price Index

Reza Tehrani; Mohammad Reza Pourebrahimi

Volume 13, Issue 40 , October 2009, , Pages 149-170

Abstract
  The present research, analyzses the forecasting performance of a variety of conditional and non-conditional models of TEDPIX volatility at the daily frequencies under three performance criteria:  namely Tthe root mean square error (RMSE), the mean absolute error (MAE) and the Theil  index. ...  Read More