Wu, Kejin; Karmakar, Sayar - In: Financial innovation : FIN 9 (2023) 1, pp. 1-38
Volatility forecasting is important in financial econometrics and is mainly based on the application of various GARCH-type models. However, it is difficult to choose a specific GARCH model that works uniformly well across datasets, and the traditional methods are unstable when dealing with...