We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of … realized volatility. We suggest a simple way of adjusting volatility models, which we illustrate on an AR(1) model and the HAR … more than 15 years, and we find that our extension improves the volatility models—both in sample and out of sample. For HAR …