The aim of this paper is to compare the forecasting performance of SETAR and GARCH models against a linear benchmark … evaluation of point forecasts is conducted over distinct subsamples or specific regimes there is more evidence of forecasting …

financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some … counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast … horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to …

Earlier research has shown that it is very hard to outperform the random walk model with respect to forecasting …