Queiroz, Rhenan G. S.; David, Sergio A. - In: Risks : open access journal 11 (2023) 12, pp. 1-13
Heteroskedasticity (GARCH) model is a well-known mathematical tool for predicting volatility. Nonetheless, the Realized-GARCH model has … investigation on the performance of the Realized-GARCH against a range of GARCH-based models to predict the volatility of five … indicate that while distinct GARCH models can produce satisfactory in-sample fits, the Realized-GARCH model outperforms its …