Roche, Bruno B.; Junior, Flôres; Galvão, Renato - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 1999
We compare three frequently used volatility modelling techniques: GARCH, Markovian switching and cumulative daily volatility models. Our primary goal is to highlight a practical and systematic way to measure the relative effectiveness of these techniques. Evaluation comprises the analysis of the...