Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
problem of forecasting conditional covariances and correlations, and Section
7 discusses volatility forecast evaluation …
innovation. Consequently, model specification and forecast evaluation tests can be constructed
-4-
by comparing the realization … forecast horizon, and it simply reflects the cumulative impact of the spot volatility process
over the return horizon. In other …