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This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without...
Persistent link: https://www.econbiz.de/10012696249
Persistent link: https://www.econbiz.de/10009554396
Persistent link: https://www.econbiz.de/10009778510
This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without...
Persistent link: https://www.econbiz.de/10012160870