article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing …GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this … distribution free methods, including quasi-maximum likelihood and three regression based methods. The study is carried out by means …

leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that … volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …We propose a methodology to include night volatility estimates in the day volatility modeling problem with high …