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Raaij, Gabriela de; Raunig, Burkhard - 2002

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A reality check on the GARCH-MIDAS volatility models

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Accelerating GARCH and score-driven models : optimality, estimation and forecasting

Blasques, Francisco F.; Gorgi, Paolo; Koopman, Siem Jan S.J. - 2017

We first consider an extension of the generalized autoregressive conditional heteroskedasticity (GARCH) model that allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the squared-return in the GARCH model is time- varying with an...

Persistent link: https://www.econbiz.de/10011688512