We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach … records of returns of various stock and foreign exchange markets as well the price of gold. Using the estimated parameters to … form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …

price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …

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 …

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … indicate that none of our volatility models can uniformly outperform other models across all six different loss functions …