Alper, C. Emre; Fendoglu, Salih; Saltoglu, Burak - Volkswirtschaftliche Fakultät, … - 2008
We explore the relative weekly stock market volatility forecasting performance of the linear univariate MIDAS regression model based on squared daily returns vis-a-vis the benchmark model of GARCH(1,1) for a set of four developed and ten emerging market economies. We first estimate the two...