price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean …

regime switching behavior and disequilibrium adjustments in the mean process, along with a state-dependent dynamic volatility …

-switching GARCH (MRS-GARCH) model on forecasting volatility of wind power. The realized volatility, which is derived from lower …-scale data, serves as a benchmark for the latent volatility. We find that the MRS-GARCH model significantly outperforms … traditional GARCH models in predicting the volatility of wind power, while the exponential GARCH model is superior among …

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic …. The GJR-GARCH model outperforms its competition volatility models in both oil markets. It also reveals that WTI exhibits a … Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe …

reflected in an increase in oil price volatility and uncertainty, which have relevant implications on the real economy …