dependent and independent variables are co-integrated. In this paper, we investigate forecasting performance between first …-of-sample forecasting under the CCAR framework. A simple application for models constructed for banks’ Comprehensive Capital Analysis and …

that forecasts improve significantly if jumps in the log-price process are considered separately from continuous components …

We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models …

variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the … forecasting technique with respect to various volatility estimators. The methodology of volatility estimation included Close …, Garman-Klass, Parkinson, Roger-Satchell, and Yang-Zhang methods and forecasting was done through the ARIMA technique. The …