Christodoulakis, George; Satchell, Stephen - In: Econometric Reviews 23 (2005) 3, pp. 175-198
A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility-type models provide poor out-of-sample forecasts of volatility. This is primarily based on the use of traditional forecast evaluation criteria concerning the accuracy and the...