forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error … forecasting model that could guarantee a sound policy decisions. …

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error … forecasting model that could guarantee a sound policy decisions. …

This paper compares the forecasting performance of symmetric and asymmetric conditional volatility models of exchange … rate returns of OECD countries. The results show that the forecasting performances of asymmetric conditional models are … are characterized by excess kurtosis and fat tails. We also found some evidence of out-of sample forecasting that the …

applications illustrate model search strategies for the SP500 stock index, comparing the performances to a standard GARCH model. …

large number of forecasting models have been designed to forecast crude oil prices' volatility, so far the relative … performance evaluation of competing forecasting models remains an exercise that is unidimensional in nature. To be more specific …

We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …

Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we … compare the forecasting performance of the various volatility models in the sample periods before and after the terrorist …