Haas, Markus; Mittnik, Stefan; Paolella, Marc S.; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as … unexpected return shocks on future volatility is obtained, and large gains in terms of in-sample fit and out-of-sample VaR …