Becker, Ralf; Clements, Adam - National Centre for Econometric Research (NCER) - 2007
This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of … macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the … proposed here can lead to significantly improved volatility forecasts compared to traditional GARCH type volatility models. …
