The well-known ARCH/GARCH models for financial time series have been criticized of late for their poor performance in volatility prediction, that is, prediction of squared returns.-super-1 Focusing on three representative data series, namely a foreign exchange series (Yen vs. Dollar), a stock...

This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without...