Chen, Jie; Politis, Dimitris N. - In: Econometrics 7 (2019) 3, pp. 1-23
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...