Arouri, Mohamed El Hedi; Lahiani, Amine; Duc, Khuong Nguyen - Development and Policies Research Center (Depocen) - 2010
This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the … after adjusting for structural breaks. Finally, the out-of-sample analysis shows that forecasting models accommodating for … conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural …