problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step …-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH …), and a detailed forecasting and backtesting investigation is performed. …

, E-GARCH, A-PARCH, and GARCH-M is employed in forecasting the conditional volatility of gold spot price from Multi …-pandemic era and explores whether gold will serve as a decisive hedge during this transition period. The techniques of ARCH, GARCH …

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