Forecasting in GARCH models with polynomially modified innovations

Gianmarco Vacca, Maria Grazia Zoia, Luca Bagnato

Year of publication:	2022
Authors:	Vacca, Gianmarco ; Zoia, Maria Grazia ; Bagnato, Luca
Published in:	International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 38.2022, 1, p. 117-141
Subject:	GARCH models \| Kurtosis \| Orthogonal polynomials \| Skewness \| Volatility forecast \| ARCH-Modell \| ARCH model \| Volatilität \| Volatility \| Prognoseverfahren \| Forecasting model \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Statistische Verteilung \| Statistical distribution \| Innovation

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