Godknows, Isenah M. - In: CBN journal of applied statistics 15 (2024) 2, pp. 01-35
This paper using bagged GARCH-type model, with ensemble averaging estimators models and compares the forecast … Forecast Error (RMSFE) as forecast-error measures, the results shows bagging- ensemble based methods to out-perform the … alternative volatility models. The study recommended that volatility estimates obtained via bagged ensemble methods should be used …