For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To … forecast accuracy for the candidate models and benchmarks, using rolling window and expanding window forecasting evaluation … forecasting models from among the different candidates. I find that VAR_m2 is the best monthly model to forecast inflation in …