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The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey
The purpose of this study is to test predictive performance of Asymmetric Normal Mixture Garch (NMAGARCH) and other Garch models based on Kupiec and Christoffersen tests for Turkish equity market. The empirical results show that the NMAGARCH perform better based on %99 CI out-of-sample forecasting C
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