Lux, Thomas; Segnon, Mawuli K.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …