We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of GARCH-MIDAS models suggested in Engle et al. (2013). In those models volatility is decomposed into a short-term GARCH component and a long-term component that is driven by...

We examine the statistical properties of multiplicative GARCH models. First, we show that in multiplicative models, returns have higher kurtosis and squared returns have a more persistent autocorrelation function than in the nested GARCH model. Second, we extend the results of Andersen and...