forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error … forecasting model that could guarantee a sound policy decisions. …

dividend-price is a prediction of an overlapping generation model. Yhe joint significance MY and dp in long-horizon forecasting …

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the … GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the … a GARCH.We compare GDFM+GARCH and standard GARCH performance on two samples up to 171 series, providing one …

Autoregressive Conditional Heteroskedasticity, EGARCH and GJR-GARCH models under normal, skewed-normal, Student-t and skewed … robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods … and markets. In particular, quantifying and forecasting the risk for the MILA and ASEAN-5 stock markets is crucial for …