Mukhopadhyay, Debabrata; Sarkar, Nityananda - In: International Econometric Review (IER) 5 (2013) 1, pp. 1-19
-sample and out-of-sample forecasts. Also, the assumption of normality for the conditional distribution is not quite statistically …, comparisons across these models have been done using forecast evaluation criteria suitable for both in-sample and out-of-sample … forecasts. The results indicate that the asymmetric PARCH volatility specification performs the best in terms of both in …