Linear Regression Test for the Single Index Model | Download Scientific Diagram
Download scientific diagram | Linear Regression Test for the Single Index Model from publication: Single-index and portfolio models for forecasting value-at-risk thresholds | The variance of a portfolio can be forecast using a single index model or the covariance matrix of the portfolio. Using univariate and multivariate conditional volatility models, this paper evaluates the performance of the single index and portfolio models in forecasting... | Value at Risk, Capital and Volatility Modeling | ResearchGate, the professional network for scientists.