(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …

form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …

price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …

(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the nai͏̈ve forecast provided by historical volatility. As a somewhat surprising result, we also … series) give much better results than individually estimated models. Keywords: forecasting, long memory models, volume …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations …