Lux, Thomas; Morales-Arias, Leonardo - In: Quantitative Finance 13 (2013) 9, pp. 1375-1394
<title>Abstract</title> A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data-generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized Autoregressive Conditional...