Chen, Jie; Politis, Dimitris N. - In: Econometrics 7 (2019) 3, pp. 1-23
under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model … straightforward. The model-free approach is formally quite similar, albeit a GARCH model is not assumed. We conducted a number of … intervals that were constructed using bootstrapping. The performance of GARCH models and the model-free approach for multi …