Ederington, Louis H.; Guan, Wei - In: Journal of Futures Markets 25 (2005) 5, pp. 465-490
The forecasting ability of the most popular volatility forecasting models is examined and an alternative model developed. Existing models are compared in terms of four attributes: (1) the relative weighting of recent versus older observations, (2) the estimation criterion, (3) the trade‐off in...