Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021
problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step …-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized …-GARCH), and a detailed forecasting and backtesting investigation is performed. …