heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … indicate that none of our volatility models can uniformly outperform other models across all six different loss functions … outperformed by other models, with long memory GARCH-type models coming out second best. …

price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean …