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

negative impact on the economic variables for the euro area. We also perform a forecasting analysis, where we assess the merits … of uncertainty indicators for forecasting industrial production, employment and the stock market, using different … models including the original financial uncertainty index in terms of forecasting. …

of improved forecasting, we model the long memory in levels and absolute returns using the class of fractional integrated …

market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models …