variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the … Cholesky MSV model with long memory and asymmetry shows stable and better forecasting performance for one-day, five-day and ten …