frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

We present a volatility forecasting comparative study within the ARCH class of models. Our goal is to identify …-record surge in volatility during the last half of 2008 to ask if forecasting models or best practices break down during periods of … turmoil. Surprisingly, we find that volatility during the 2008 crisis was well approximated by predictions one-day ahead, and …