accuracy of the single best model which is a specification that allows for time-varying parameters and stochastic volatility …

moments of the outcome. Specifically, our modeling approach allows for MIDAS stochastic volatility dynamics, generalizing a … strong evidence that the introduction of MIDAS effects in the volatility equation leads to improved in-sample and out …-of-sample density forecasts. Our results also suggest that model combination schemes assign high weight to MIDAS-in-volatility models …

conditional Sharpe ratio, the latter of which incorporates time-varying volatility in the predictive regression framework …