Geweke, John; Amisano, Gianni - 2009
substantially outperform their best components. -- Forecasting ; GARCH ; log scoring ; Markov mixture ; model combination; S&P 500 ….
Keywords: forecasting; GARCH; log scoring; Markov mixture; model combination;
S&P 500 returns; stochastic volatility
JEL … autoregressive con-
ditional heteroscedasticity model with parameters p = q = 1, or GARCH (1,1)
(�GARCH …