We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations …

properties of the Dow Jones Islamic Stock Market Index (DJIM) and explore its volatility dynamics using a number of up … traditional asset classes, and estimation results and forecasting performance for various volatility models are also in line with …

prop- erties of the Dow Jones Islamic Stock Market Index (DJIM) and ex- plore its volatility dynamics using a number of up …

form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …