Lunde, Asger; Hansen, Peter R. - In: Journal of Applied Econometrics 20 (2005) 7, pp. 873-889
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is...